This is a summary of links featured on Quantocracy on Tuesday, 03/31/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Real Corporate Bond Puzzle [Falkenblog]The conventional academic corporate bond puzzle has been that 'risky' bonds generate too high a return premium (see here). The most conspicuous credit metric captures US BBB and AAA bond yields going back to 1919 (Moody's calls them Baa and Aaa). This generates enough data to make it the corporate spread measure, especially when looking at correlations with business cycles. Yet BBB