金融工程研究中心学术报告:The Cross-Section of Credit Risk Premia and Expected Corporate Bond Returns

报告人:王军波 教授,香港城市大学 经济与金融系

时  间2021.06.29(周二) 9:30-10:30

地  点:腾讯会议ID146 658 183

摘  要

 Using CDS-implied risk premium measures, we find that these variables have higher predictive power in the cross-section for bond returns than traditional default risk measures. The positive effect of the credit risk premium (CRP) factor on expected returns is pervasive, stronger for lower-rated bonds and robust to controlling for conventional risk factors and bond characteristics. Besides the systematic CRP factor, idiosyncratic credit risk is also priced. The results show that the CRP effect in the cross-section of bond returns is largely a pure bond effect, which is not driven by the underlying structural model relationship between debt and equity.

 


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