A One-Factor Model of Corporate Bond Premia

• 成果类型: Article
• 署名作者: Elkamhi, Redouane; Jo, Chanik; Nozawa, Yoshio
• 署名单位: University of Toronto; Chinese University of Hong Kong
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.4784
• 发表日期: 2024
• 页码: 1875-1900
• 关键词: Corporate bond; long-run consumption risk; CROSS-SECTIONAL TEST

摘要

A one-factor model based on long-run consumption growth explains the risk premiums on corporate bond portfolios sorted on credit rating, credit spreads, downside risk, idiosyncratic volatility, long-term reversals, maturity, and sensitivity to the financial intermediary capital factor. The estimated risk-aversion coefficient is lower when we use the consumption growth of wealthy households over a longer horizon as a risk factor, and a model with a 20-quarter horizon yields a risk-aversion coefficient of 15, a value similar to the one estimated from equity portfolios.