{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,5]],"date-time":"2026-10-05T17:01:46Z","timestamp":1791219706282,"version":"4.1.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>We construct a novel, characteristics-based systematic risk exposure (CSRE) measure using jumps in federal-funds-futures-implied rates and bond characteristics from 2004 to 2008. CSRE predicts cross-sectional expected corporate bond returns out-of-sample from 2009 to 2022: value-weighted returns and factor-adjusted alphas increase monotonically across CSRE deciles; the high-minus-low portfolio earns 9.12% (t=3.77) annually with a 7.80% (t=4.52) alpha and a Sharpe ratio of 1.28. The premium survives duration-adjusted benchmarks and factor exposures from van Binsbergen et al. (2025). The corresponding tradable factor CSRF is not spanned by market, intermediary-capital, or monetary-policy risks, and adds explanatory power beyond bond market and liquidity factors.<\/jats:p>","DOI":"10.2139\/ssrn.7566162","type":"posted-content","created":{"date-parts":[[2026,10,5]],"date-time":"2026-10-05T16:37:37Z","timestamp":1791218257000},"source":"Crossref","is-referenced-by-count":0,"title":["Cross-Sectional Corporate Bond Returns"],"prefix":"10.2139","author":[{"given":"Yongfu","family":"Feng","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-1904-6001","authenticated-orcid":true,"given":"Hong","family":"Liu","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Shuxin","family":"Zheng","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,5]],"date-time":"2026-10-05T16:37:37Z","timestamp":1791218257000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7566162"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7566162","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}