Jens Dick-Nielsen wins Best Paper Award at the 2024 Utah Winter Finance Conference

Jens Dick-Nielsen, Professor in Finance at Copenhagen Business School has been honored with the prestigious Best Paper Award at the 2024 Utah Winter Finance Conference (UWFC). The paper is written in collaboration with Peter Feldhütter, Lasse Heje Petersen and Christian Stolborg, Copenhagen Business School.

The abstract of the paper, Corporate Bond Factors: Replication Failures and a New Framework

"We demonstrate that the literature on corporate bond factors suffers from replication failures, inconsistent methodological choices,and the lack of a common error-free dataset. Going beyond identifying this replication crisis, we create a clean database of corporate bond returns where outliers are analyzed individually and propose a robust factor construction. Using this framework,we show that most,but not all, factors fail to replicate. Further, while traditional factors are constructed from individual bonds, we create representative firm-level bonds, showing which bond signals work at the firm level. Lastly, we show that a number of equity signals work for corporate bonds. In summary, most factors fail, but so does the CAPM for corporate bonds."

A big congratulations to Jens Dick-Nielsen and his collaborators on this great honor!