A convenient way to apply Fama–French factor models in empirical research is to use factor
returns downloaded from databases like Kenneth French's data library. These factors are …

This paper investigates the application of factor investing in corporate bonds. Our results
show that proficiency in the drivers of risk and return, the factors, should be used for bottom …

We analyze a novel alpha momentum strategy that invests in stocks based on three-factor
alphas which we estimate using daily returns. The empirical analysis for the US and for …

The authors investigate the phenomenon that past winners in the stock market are potential
future winners in the European bond market. By using a data set of EUR-denominated …

Using factor models we empirically investigate the performance of European Monetary
Union (EMU) bond managers. We find that (1) alpha is time varying,(2) bond managers …

Although factor investing has become an industry standard, the debate over which factors
drive the risk and return of various asset classes across the globe is ongoing. The literature …

In this paper, we conduct a comprehensive survey and evaluation of recent empirical studies
exploring the factors influencing cross-sectional corporate bond returns, including recent …

This article focuses on European bond and equity portfolios, and specifically the relevance
of balanced portfolios. European equity and bond markets have undergone tremendous …

I analyze and compare the performance of momentum strategies and Novy-Marx's
intermediate horizon strategies for Eurozone corporate bonds in the period 2013-2022. I …

Although factor investing has become an industry standard, the debate over which factors
drive the risk and return of various asset classes across the globe is ongoing. The literature …