Common risk factors in EUR corporate bond returns: a portfolio construction approach
Peraccini, Leoinardo (A.A. 2024/2025) Common risk factors in EUR corporate bond returns: a portfolio construction approach. Tesi di Laurea in Fixed incomes securities, Luiss Guido Carli, relatore Alberto Cybo-Ottone, pp. 66. [Master's Degree Thesis]
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Abstract/Index
Corporate bonds. Corporate bonds: definition and fundamental characteristics. Main risks in corporate bond investing. The EUR-denominated corporate bond market. Investment strategies in corporate bond markets. Passive and active investment approaches. Factor models in asset pricing: rationale, construction, and applications. Factor investing in corporate bonds: the AQR framework. The macroeconomic environment. The global pandemic shock (2020). Gradual reopening and emerging macroeconomic pressures (2021). Inflation shock, geopolitical conflict and monetary tightening (2022). Disinflation, financial stress and market repricing (2023). Monetary easing, political uncertainty and market resilience (2024). Data and methodology. The AQR framework: data sources and sample construction. EURO dataset and sample construction. Dataset overview. Factor construction and empirical results. The carry factor in corporate bond markets. The defensive factor in corporate bond markets. The momentum factor in corporate bond markets. The value factor in corporate bond markets. Correlation structure of the factors. Empirical validation and portfolio implementation. Cross-sectional regressions. Portfolio construction. Constant-volatility portof. Long-only portfolio implementation.
References
Bibliografia: pp. 65-66.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Fixed incomes securities |
| Thesis Supervisor: | Cybo-Ottone, Alberto |
| Thesis Co-Supervisor: | Borri, Nicola |
| Academic Year: | 2024/2025 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 16 Jun 2026 12:52 |
| Last Modified: | 16 Jun 2026 12:52 |
| URI: | https://tesi.luiss.it/id/eprint/46169 |
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