113 citations · 113 across the 3 of their papers we have counts for
3 papers
The Corporate Bond Factor Replication Crisis
Alexander Dickerson, Cesare Robotti, Giulio Rossetti
Corporate bond factor research faces a replication crisis. The crisis stems from two sources that inflate reported factor premia: transaction prices whose measurement error enters…
Priced risk in corporate bonds
Alexander Dickerson, Philippe Mueller, Cesare Robotti
Recent studies document strong empirical support for multifactor models that aim to explain the cross-sectional variation in corporate bond expected excess returns. We revisit thes…
The Co-Pricing Factor Zoo
Alexander Dickerson, Christian Julliard, Philippe Mueller
We analyze 18 quadrillion models for the joint pricing of corporate bond and stock returns. Strikingly, we find that equity and nontradable factors alone suffice to explain corpora…