The Performance of Investment Grade Corporate Bond
Funds: Evidence from the European Market
Leif Holger Dietze+*
Catholic University of Eichstaett-Ingolstadt
Oliver Entrop++
Catholic University of Eichstaett-Ingolstadt
Marco Wilkens+++**
Catholic University of Eichstaett-Ingolstadt
Working Paper
First Version: August 2005
This Version: January 2006
Keywords: performance measurement, European corporate bond market, investment grade
corporate bond mutual funds, multi-index model, asset-class-factor model
(JEL G11, G23)
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+ Leif Holger Dietze, Ingolstadt School of Management, Catholic University of Eichstaett-Ingolstadt, Auf der
Schanz 49, D-85049 Ingolstadt, Germany, phone: +49 841 1352110, fax: +49 841 8817077, email:
l.h.dietze@gmx.de. ++ Oliver Entrop, Ingolstadt School of Management, Catholic University of Eichstaett-
Ingolstadt, Auf der Schanz 49, D-85049 Ingolstadt, Germany, phone: +49 841 9371876, fax: +49 841 9372876,
email: oliver.entrop@ku-eichstaett.de. +++ Marco Wilkens, Ingolstadt School of Management, Catholic
University of Eichstaett-Ingolstadt, Auf der Schanz 49, D-85049 Ingolstadt, Germany, phone: +49 841 9371883,
fax: +49 841 9372883, email: marco.wilkens@ku-eichstaett.de.
* Financial support by Konrad-Adenauer-Stiftung is gratefully acknowledged. ** Parts of this research was done
while Marco Wilkens was visiting the Australian Graduate School of Management, University of New South
Wales. He thanks the school for its hospitality and support.
We are grateful to participations at the finance seminar at University of Hohenheim, the 18th Australasian
Banking and Finance Conference, Sydney, and the French Finance Association International Meeting December
2005, Paris, and, especially, to Gilles San Filippo and Hendrik Scholz for helpful suggestions and comments. We
thank Feritrust for providing data and Anette Dyroff at Feritrust for assistance with their database.
The Performance of Investment Grade Corporate Bond
Fun