Economic Uncertainty, Disagreement, and Credit Markets

• 成果类型: Article
• 署名作者: Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea
• 署名单位: Imperial College London; Universita della Svizzera Italiana; Swiss Finance Institute (SFI); University of London; London School Economics & Political Science
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2013.1815
• 发表日期: 2014
• 页码: 1281-1296
• 关键词: credit risk; credit spreads; heterogeneous beliefs; uncertainty

摘要

We study how the equilibrium risk sharing of agents with heterogeneous perceptions of aggregate consumption growth affects bond and stock returns. Although credit spreads and their volatilities increase with the degree of heterogeneity, the decreasing risk premium on moderately levered equity can produce a violation of basic capital structure no-arbitrage relations. Using bottom-up proxies of aggregate belief dispersion, we give empirical support to the model predictions and show that risk premia on corporate bond and stock returns are systematically explained by their exposures to aggregate disagreement shocks.