主讲人Speaker: 宋兆刚     讲座教授      约翰霍普金斯大学

时间Date & Time: 2026年4月29日（周三），10:00--10:30

地点Venue:粤海校区汇星楼565会议室

内容简介/ Abstract:

This paper provides a comprehensive analysis of excess returns specific to corporate bonds. We construct a measure of excess returns that uses synthetic Treasury securities with identical cash flows as benchmarks, thereby fully removing interest rate effects and isolating the component of returns specific to corporate bonds. Using a monthly sample from 2002 to 2024, we find that our fully adjusted excess return differs significantly from the standard excess return that uses T-bills as benchmarks, both on average and in the cross section. We further examine the effects of a broad set of bond-level characteristics and systematic risk factors on excess returns. We also decompose the difference between the standard and fully-adjusted excess returns into duration and higher-order components. Together, these findings provide a foundational benchmark for future research on corporate bond returns.

主讲人介绍/Biography of the speaker：

宋兆刚，康奈尔大学经济学博士，现任约翰霍普金斯大学凯里商学院（Johns Hopkins Carey Business School）讲座教授，2011年至2015年间在美联储理事会任经济学家。主要研究领域为资产定价、市场结构与流动性、非银行金融中介、金融科技、中国货币政策和金融计量经济学。曾在Journal of Finance、Journal of Econometrics、Journal of Monetary Economics、Management Science、Journal of Financial Economics、Review of Financial Studies等期刊发表论文十余篇。他曾获得多项研究奖项，如纳斯达克市场微观结构最佳论文奖、Journal of Econometrics期刊实证计量经济学最佳论文Dennis J. Aigner荣誉奖、Q Group研究奖、全球风险专业人士协会研究奖、蒙特利尔结构性产品和衍生品研究所研究奖。

宋教授还积极参与金融市场的政策问题和金融业的投资实践。他曾担任美国商品期货交易委员会（CFTC）的学术专家，为Dimensional Fund Advisors（DFA）提供固定收益投资咨询，曾在费城联邦储备银行担任访问学者，并担任香港货币与金融研究所专题研究计划的学者。