Economic Policy Uncertainty and the Cross-Section of Corporate Bond Returns

Xinyuan Tao, Bo‐Ting Wang, Junbo Wang, Chunchi Wu
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引用次数: 1

Abstract

This article finds that economic policy uncertainty (EPU) is a systematic risk factor priced in the cross-section of corporate bonds. Bonds with high EPU beta have low expected returns, and this negative premium is robust to controlling for conventional risk factors, bond characteristics, and macroeconomic conditions and uncertainty. The effect of policy risk is pervasive, stronger for speculative-grade bonds, and priced in both US and foreign markets. The EPU risk effect is greater for firms that have higher earnings exposure to policy uncertainty, dependence on external financing, and effective tax rates; those with lower pre-tax interest coverage; and those that operate in regulation-intensive industries.
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经济政策的不确定性与公司债券收益的横截面
本文发现,经济政策不确定性(EPU)是一个系统的风险因素,定价在公司债券的横截面上。EPU贝塔系数高的债券预期回报率低,这种负溢价对于控制传统风险因素、债券特征、宏观经济条件和不确定性是稳健的。政策风险的影响是普遍的,投机级债券的影响更大,在美国和外国市场都有定价。对于收益暴露于政策不确定性、依赖外部融资和有效税率较高的公司,EPU风险效应更大;税前利息覆盖率较低的;以及那些在监管密集型行业运营的公司。
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来源期刊
Journal of Fixed Income
Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics
CiteScore
1.10
自引率
0.00%
发文量
23
期刊介绍: The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.
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