Title: Corporate-Bond-Specific Excess Returns

Speaker: Song Zhaogang, Professor of Finance, Carey Business School, Johns Hopkins University.

Abstract: This paper conducts a comprehensive analysis of excess returns on corporate bonds. It constructs an excess return measurement method using synthetic government bonds with identical cash flows as the benchmark to fully eliminate interest rate effects and isolate the unique return component of corporate bonds. Using monthly sample data from 2002 to 2024, the study finds that fully adjusted excess returns differ significantly from traditional excess returns based on Treasury bonds in both mean and cross-sectional dimensions. It further examines the impact of bond-level characteristics and systematic risk factors on excess returns, and decomposes the differences between traditional and fully adjusted excess returns into duration and higher-order components. These findings provide a fundamental benchmark for future research on corporate bond returns.

Date & time: 27 April 2026, 10:00 - 12:00

Venue: B423, Zhixin Building, Central Campus, Shandong University

Organizer: School of Economics, Shandong University