Explaining the rate spread on corporate bonds

• 成果类型: Article
• 署名作者: Elton, EJ; Gruber, MJ; Agrawal, D; Mann, C
• 署名单位: New York University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00324
• 发表日期: 2001
• 页码: 247-277
• 关键词: term structure; Government Bonds; MODEL; debt; performance; liquidity; returns; yields; tax

摘要

The purpose of this article is to explain the spread between rates on corporate and government bonds. We show that expected default accounts for a surprisingly small fraction of the premium in corporate rates over treasuries. While state taxes explain a substantial portion of the difference, the remaining portion of the spread is closely related to the factors that we commonly accept as explaining risk premiums for common stocks. Bath our time series and cross-sectional tests support the existence of a risk premium on corporate bonds.