The Macroeconomic Uncertainty Premium in the Corporate Bond Market

被引：38

作者：

Bali, Turan G. ^{[1
]}

Subrahmanyam, Avanidhar ^{[2
]}

Wen, Quan ^{[1
]}

机构：

[1] Georgetown Univ, McDonough Sch Business, Washington, DC 20057 USA

[2] Univ Calif Los Angeles, Anderson Grad Sch Management, Los Angeles, CA 90024 USA

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2021年 / 56卷 / 05期

关键词：

COMMON RISK-FACTORS; CROSS-SECTION; EXPECTED RETURNS; STOCK RETURNS; ANOMALIES; COSTS;

D O I：

10.1017/S0022109020000538

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the role of macroeconomic uncertainty in the cross section of corporate bonds and find a significant uncertainty premium for both investment-grade (IG) (0.40% per month) and non-investment-grade (NIG) (0.81% per month) bonds. The economic-uncertainty premium declines as we progressively remove downgraded bonds, indicating that the premium represents an increase in required returns for bonds with higher credit and macroeconomic risk. The economic-uncertainty premia vary across equities and bonds in a manner consistent with the heterogeneous risk-aversion levels of dominant players in equities (retail investors) versus bonds (institutional investors).

引用

页码：1653 / 1678

页数：26

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