Issuer Quality and Corporate Bond Returns

• 成果类型: Article
• 署名作者: Greenwood, Robin; Hanson, Samuel G.
• 署名单位: Harvard University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hht016
• 发表日期: 2013
• 页码: 1483
• 关键词: business-cycle; share issuance; stock returns; AGENCY COSTS; debt; premium; MARKETS; SPREAD; yield; maturity

摘要

We show that the credit quality of corporate debt issuers deteriorates during credit booms and that this deterioration forecasts low excess returns to corporate bondholders. The key insight is that changes in the pricing of credit risk disproportionately affect the financing costs faced by low-quality firms, so debt issuance of low-quality firms is particularly useful for forecasting bond returns. We show that a significant decline in issuer quality is a more reliable signal of credit market overheating than rapid aggregate credit growth. We use these findings to investigate the forces driving time variation in expected corporate bond returns.