Duration-Based Valuation of Corporate Bonds

• 成果类型: Article
• 署名作者: van Binsbergen, Jules H.; Nozawa, Yoshio; Schwert, Michael
• 署名单位: University of Pennsylvania; University of Toronto
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhae054
• 发表日期: 2024
• 页码: 158
• 关键词: COMMON RISK-FACTORS; cross-section; structural models; equity premium; returns; SPREAD; volatility; stocks

摘要

We decompose corporate bond and equity index returns into duration-matched government bond returns and the excess returns over this duration-matched counterfactual, which we term duration-adjusted returns. Compared with previously used excess return definitions (ie, returns in excess of Treasury bills), our decomposition leads to markedly different return patterns and asset pricing implications. In particular, we find that investment-grade bonds earn a small credit risk premium, comparable in magnitude to the convenience yield, and that duration adjustment resolves the CAPM's failure to price corporate bonds. These findings highlight the importance of adjusting for nonstationary interest rate environments in asset pricing tests.