JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS·Vol. 51, No. 3, June 2016

組合分散和國際公司債券

作者：Edith X. Liu（Cornell University）

摘要：這篇文章考察了公司債券分散化對美國投資者的好處。根據新收集的2000年至2010年的債券數據發現，利用公司債券進行分散化對美國投資者來說能夠顯著降低收益波動性并提高風險調整後收益。不同于利用股票進行分散化，公司債券能使樣本外的風險顯著降低，特别是在最近的金融危機中。而且，即使基準包括了國際股票或者使用長期股票樣本和主權債券來聯合估計公司債券收益，風險降低所得依然很大。最後，在排除了債券特質差異、流動性差異和信息成本等潛在因素後，投資國際範圍的公司債券所帶來的風險降低所得依然顯著存在。

Portfolio Diversification and International Corporate Bonds

Edith X. Liu（Cornell University）

ABSTRACT

This article examines the benefits of corporate bond diversification for U.S. investors. Analysis of a newly compiled bond-level data set for 2000–2010 finds that diversification with corporate bonds can significantly reduce volatility and increase risk-adjusted returns for U.S. investors. Unlike diversification with equities, corporate bonds offer significant out-of-sample risk reduction, particularly during the recent financial crisis. Risk-reduction gains are large even when the benchmark includes international equities or when longer samples of equities and sovereign bonds are used to inform corporate bond returns. Finally, significant risk-reduction gains remain after accounting for bond characteristics, liquidity, and informational costs.

原文鍊接：http://web.a.ebscohost.com/ehost/pdfviewer/pdfviewer?vid=4&sid=11aa5dc2-3b78-4491-a94c-a2e3dba23420%40sessionmgr4010&hid=4114

翻譯：傅亞平