Returns and Volatility of Low‐Grade Bonds 1977–1989
研究了1977-1989年间长期低等级债券的风险和回报，发现其回报高于高等级债券但低于股票，波动性因赎回条款和高票息而更低，且行为兼具债券和股票特征。
ABSTRACT This paper examines the risks and returns of long‐term low‐grade bonds for the period 1977–1989. We find: (1) low‐grade bonds realized higher returns than higher‐grade bonds and lower returns than common stocks, and low‐grade bonds exhibited less volatility than higher‐grade bonds due to their call features and high coupons; (2) there is no relation between the age of low‐grade bonds and their realized returns; cyclical factors explain much of the observed relation between default rates and bond age; and (3) low‐grade bonds behave like both bonds and stocks. Despite this complexity there is no evidence that low‐grade bonds are systematically over‐ or under‐priced.