Corporate Bond Returns: Does News Sentiment Matter?

We examine whether news sentiment predicts corporate bond returns in both the cross-section and time series. Using univariate and double-sorted portfolios by investment grade, issuer size, maturity, and liquidity, we find that while some results are statistically significant, the economic magnitudes are negligible. Unlike evidence in equities and the limited bond literature, our findings suggest that news sentiment does not meaningfully explain the cross-sectional variation in corporate bond returns and provides no incremental pricing power as a bond risk factor.

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Publication Details

Journal
The Journal of Fixed Income
Published
2025-10-31
DOI
https://doi.org/10.3905/jfi.2025.1.217
Primary Topic
Financial Markets and Investment Strategies
Type
article
Field-Weighted Citation Impact
0.00
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article

Corporate Bond Returns: Does News Sentiment Matter?

Lara Cathcart, Lachlan Michalski, Rand Kwong Yew Low, Lina El‐Jahel
The Journal of Fixed Income
Financial Markets and Investment Strategies
article

Corporate Bond Returns: Does News Sentiment Matter?

Lara Cathcart, Lachlan Michalski, Rand Kwong Yew Low, Lina El‐Jahel
article en

Abstract

We examine whether news sentiment predicts corporate bond returns in both the cross-section and time series. Using univariate and double-sorted portfolios by investment grade, issuer size, maturity, and liquidity, we find that while some results are statistically significant, the economic magnitudes are negligible. Unlike evidence in equities and the limited bond literature, our findings suggest that news sentiment does not meaningfully explain the cross-sectional variation in corporate bond returns and provides no incremental pricing power as a bond risk factor.

The Journal of Fixed IncomeVol. 35(3)
Bond University (AU), University of Auckland (NZ), Auckland University of Technology (NZ), Commonwealth Education Trust (GB), Imperial College London (GB)
Openalex Percentile: Top 60%
Financial Markets and Investment Strategies
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Corporate Bond Returns: Does News Sentiment Matter? — Lara Cathcart, Lachlan Michalski, et al. · The Journal of Fixed Income (2025) | TGRS Research Map | TGRS