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Factor-based Portfolio Management with Corporate Bonds

Bektic, Demir :
Factor-based Portfolio Management with Corporate Bonds.
Technische Universität, Darmstadt
[Ph.D. Thesis], (2018)

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Item Type: Ph.D. Thesis
Title: Factor-based Portfolio Management with Corporate Bonds
Language: English
Abstract:

Over the past 50 years financial asset pricing theories have evolved from simple single-factor models to more complex multi-factor models. Initially, Sharpe’s (1964) Capital Asset Pricing Model (CAPM) postulated that security markets can be described by a single factor (market beta). The basic premise of the model is that market participants require a risk premium for investing in high-beta assets that are typically considered more risky than low-beta assets. However, in the aftermath of the 2008 global financial crisis, two major trends emerged in the investment industry that laid the groundwork for the rise of factor-based investment strategies: 1) Investors started to evaluate and implement portfolio diversification in terms of underlying systematic risk factors given the failure of active management to provide adequate downside protection. 2) Investors demanded cost-effective, transparent and systematic alternative investment vehicles that could capture most or at least parts of active managers’ excess return. As a consequence, factor-based investing has grown in popularity and rapidly attracted academics, asset managers and institutional investors.

Alternative Abstract:
Alternative AbstractLanguage
Obwohl in der wissenschaftlichen Literatur fast ausschließlich Faktoren an Aktienmärkten untersucht wurden (Harvey et al., 2016 zählen über 315 Aktienmarktfaktoren), ist es möglich, dieses Konzept auch an den Unternehmensanleihemärkten anzuwenden und die daraus resultierenden Vorteile gleichermaßen auszunutzen. Das theoretische Fundament hierzu wurde von Merton (1974) gelegt. Darüber hinaus ist es ebenfalls möglich, auch anleihespezifische Faktoren zu definieren. Ziel dieser wissenschaftlichen Arbeit ist es, die theoretischen Hypothesen durch empirische Analysen kritisch zu überprüfen sowie Implikationen für das Asset-Pricing als auch die Praxis abzuleiten.German
Place of Publication: Darmstadt
Classification DDC: 300 Sozialwissenschaften > 330 Wirtschaft
Divisions: 01 Department of Law and Economics > Betriebswirtschaftliche Fachgebiete > Corporate finance
Date Deposited: 28 Feb 2018 08:43
Last Modified: 28 Feb 2018 08:43
URN: urn:nbn:de:tuda-tuprints-72726
Referees: Schiereck, Prof. Dr. Dirk and Krüger, Prof. Dr. Jens
Refereed: 13 February 2018
URI: https://tuprints.ulb.tu-darmstadt.de/id/eprint/7272
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