Volatility and the cross-section of corporate bond returns

• 成果类型: Article
• 署名作者: Chung, Kee H.; Wang, Junbo; Wu, Chunchi
• 署名单位: State University of New York (SUNY) System; University at Buffalo, SUNY; Sungkyunkwan University (SKKU); City University of Hong Kong
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.02.002
• 发表日期: 2019
• 页码: 397-417
• 关键词: Aggregate volatility risk; Corporate bond pricing; default risk; idiosyncratic risk; ratings

摘要

This paper examines the pricing of volatility risk and idiosyncratic volatility in the cross-section of corporate bond returns for the period of 1994-2016. Results show that bonds with high volatility betas have low expected returns, and this negative relation appears in all segments of corporate bonds. Further, bonds with high idiosyncratic bond (stock) volatility have high (low) expected returns, and this relation strengthens as ratings decrease. Conventional risk factors and bond/issuer characteristics cannot account for these cross-sectional relations. There is evidence that the effect of idiosyncratic stock volatility on expected bond returns works through the channel of contemporaneous stock returns. (C) 2019 Elsevier B.V. All rights reserved.