Reaching for Yield and the Cross Section of Bond Returns

The authors thank Bjorn Eraker, Jonathan Goldberg, Bruce Grundy, Jungsuk Han, Grace Xing Hu, Alex Hsu, Yoshio Nozawa, George Pennacchi, Sebastien Plante, and seminar participants at the ABFER, the CEPR, and the CUHK First Annual Symposium on Financial Economics, Aalto University, Boston University, the Chicago Financial Institutions Conference, the China International Conference in Finance, the Fixed Income and Financial Institutions Conference, Kaist, Southern Methodist University, the University of Houston, the University of Illinois Urbana-Champaign, Hong Kong University, HKUST, the MFA annual meeting, the University of Melbourne, and the University of Wisconsin-Madison for helpful comments.