Corporate bond returns in major developed economies increase with lower ratings and higher residual maturity. The performance of various factor models featuring corporate, sovereign and equity markets as factors suggests that the corporate bond factor plays a dominant role in explaining the variation of corporate bond returns. From a factor model perspective, local factors contribute substantially more than global factors. The factor exposures show intuitive patterns: as ratings worsen, corporate bond $\beta$’s increase steeply, sovereign $\beta$’s decline monotonically and equity $\beta$’s show a hockey stick pattern. However, from a pricing perspective, we find little evidence against the global CAPM model.

主要评级经济体的公司债券收益随着评级的降低和剩余期限的增加而增加。以公司，主权和股票市场为因素的各种因素模型的表现表明，公司债券因素在解释公司债券收益的变化中起着主导作用。从因素模型的角度来看，局部因素的贡献远大于整体因素。要素敞口显示出直观的模式：随着评级恶化，公司债券$\beta$急剧增加，主权 $\beta$的单调下降和公平 $\beta$显示曲棍球棒图案。但是，从定价的角度来看，我们发现没有证据支持全球CAPM模型。