Fixed income

How much do we really know about corporate bond returns before the modern data era? Until recently, the answer was: not enough. Most empirical work in corporate bond pricing has relied on relatively short samples, especially the post-2002 TRACE period, leaving open the question of whether observed risk premia are robust over longer horizons. Ghaderi, Plante, Roussanov, and Seo (2026) Ghaderi, Plante, Roussanov, and Seo (2026) address this limitation by constructing a historical database of U.S. corporate bond returns from 1895 to 2022. Using hand-collected monthly bond quotes from sources such as the Commercial and Financial Chronicle, Standard & Poor’s Bond Guide, and Mergent/Moody’s Bond Record, they assemble a large panel of corporate bonds that allows for a much longer view of credit risk, return predictability, and factor pricing in fixed income.

The Excess Bond Premium (EBP – the portion of corporate bond spreads not explained by default risk), a key metric in quantitative finance for gauging credit spreads, has long been a subject of intense scrutiny. Recent research sheds new light on its dynamics, moving beyond traditional macroeconomic factors to explore the role of information flow. By analyzing news attention across 180 topics, a significant portion of the EBP’s variation can be explained, offering a novel lens to understand its fluctuations and predictive power.

There exist two most common techniques for constructing multifactor portfolios. The mixing approach creates single-factor portfolios and then invests proportionally in each to build a multifactor portfolio. The integrated approach combines single-factor signals into a multifactor signal and then constructs a multifactor portfolio based on that multifactor signal. Which methodology is better? It is hard to tell, and numerous papers show each method’s pros and cons. The recent paper from Joris Blonk and Philip Messow explores this question from the standpoint of the credit fixed-income portfolio manager and offers their analysis, which shows that an integrated approach is probably better in this particular asset class.