Money
A New Paper Says the Corporate Bond 'Factor Zoo' Is a Replication Crisis: Most Factors Fail Once You Fix the Data
Alexander Dickerson, Cesare Robotti, and Giulio Rossetti argue that 108 documented corporate bond factors across nine thematic clusters mostly disappear once you correct for two specific methodological flaws: errors-in-variables bias from TRACE transaction prices, and ex-post return filtering that embeds future information in factor construction.
