Option-Based Credit Spreads

• 成果类型: Article
• 署名作者: Culp, Christopher L.; Nozawa, Yoshio; Veronesi, Pietro
• 署名单位: Johns Hopkins University; University of Geneva; Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Chicago; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20151606
• 发表日期: 2018
• 页码: 454-488
• 关键词: capital structure; corporate-debt; term structure; RISK; premium; puzzle

摘要

We present a novel empirical benchmark for analyzing credit risk using pseudo firms that purchase traded assets financed with equity and zero-coupon bonds. By no-arbitrage, pseudo bonds are equivalent to Treasuries minus put options on pseudo firm assets. Empirically, like corporate spreads, pseudo bond spreads are large, countercyclical, and predict lower economic growth. Using this framework, we find that bond market illiquidity, investors' overestimation of default risks, and corporate frictions do not seem to explain excessive observed credit spreads hut, instead, a risk premium for toil and idiosyncratic asset risks is the primary determinant of corporate spreads.