Is there a risk-return tradeoff in the corporate bond market? Time-series and cross-sectional evidence

• 成果类型: Article
• 署名作者: Bai, Jennie; Bali, Turan G.; Wen, Quan
• 署名单位: Georgetown University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.05.003
• 发表日期: 2021
• 页码: 1017-1037
• 关键词: Corporate bonds; systematic risk; idiosyncratic volatility; Risk-return tradeoff

摘要

We provide time-series and cross-sectional evidence on the significance of a risk-return tradeoff in the bond and equity markets. We find a significantly positive intertemporal relation between expected return and risk in the bond market. We also propose novel measures of systematic and idiosyncratic risk for individual corporate bonds and find a significantly positive cross-sectional relation between systematic risk and expected bond returns, whereas there is no significant link between idiosyncratic risk and future bond returns. We provide an explanation for the significance of systematic (idiosyncratic) risk based on different investor preferences and informational frictions in the bond (equity) market. (c) 2021 Elsevier B.V. All rights reserved.