我们对公司债券回报了解多少?

IF 5 3区 经济学 Q1 BUSINESS, FINANCE Annual Review of Financial Economics Pub Date : 2021-07-20 DOI:10.1146/ANNUREV-FINANCIAL-110118-123129
Jing-Zhi Huang, Zhan Shi
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引用次数: 8

摘要

最近,关于公司债券回报的决定因素,特别是横截面回报变化的驱动力的文献越来越多。在这篇综述中,我们首先调查了最近关于这一重要主题的实证研究。我们讨论了横截面证据和时间序列证据。然后,我们使用信用风险建模的结构方法,对单个公司债券收益率进行了基于模型的分析。除其他外,我们还表明,默顿模型所隐含的预期公司债券回报率在横截面中预测了1个月的公司债券回报。《金融经济学年度评论》第13卷预计最终在线出版日期为2021年11月。请参阅http://www.annualreviews.org/page/journal/pubdates用于修订估算。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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What Do We Know About Corporate Bond Returns?
Recently, there has been a fast-growing literature on the determinants of corporate bond returns, in particular, the driving force of cross-sectional return variation. In this review, we first survey recent empirical studies on this important topic. We discuss cross-sectional evidence as well as time-series evidence. We then present a model-based analysis of individual corporate bond returns using the structural approach for credit risk modeling. We show, among other things, that the expected corporate bond return implied by the Merton model predicts 1-month-ahead corporate bond returns in the cross section. Expected final online publication date for the Annual Review of Financial Economics, Volume 13 is November 2021. Please see http://www.annualreviews.org/page/journal/pubdates for revised estimates.
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发文量
26
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