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.
Authors
- Lara Cathcart
- Lachlan Michalski (ORCID: https://orcid.org/0000-0002-7002-4054)
- Rand Kwong Yew Low (ORCID: https://orcid.org/0000-0002-0290-7840)
- Lina El‐Jahel (ORCID: https://orcid.org/0000-0001-6517-5811)
Institutions
- Bond University (AU)
- University of Auckland (NZ)
- Auckland University of Technology (NZ)
- Commonwealth Education Trust (GB)
- Imperial College London (GB)
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