Risk Adjusted Performance Analysis of Corporate High-Yield Bonds

Sammanfattning: This paper evaluates whether corporate high-yield bond returns can be explained by the Fama French Factors and other accepted factors as commonly used when analyzing equity excess returns. As high yield bonds exhibit a somewhat similar return profile as equities, the hypothesis is furthermore that their excess returns should to a significant extent be explained by the same risk-factors. The study is conducted on an aggregate index level for the European and US High-Yield corporate bond markets and regressed onto the Factors for respective market for comparison. Alpha can not with certainty be found but the thesis proves that High-Yield bond returns can significantly be explained by various equity factors.