BOND RISK PREMIUMS, FINANCIAL DATA, AND THE EFFECT OF MARKET SEGMENTATION
这篇实证研究通过分析1975-1979年的财务数据，发现工业债券与公用事业债券的风险溢价决定因素存在显著差异，市场分割效应和商业周期对债券溢价有重要影响。
The main question which this empirical study addresses is: Are the fmancial determinants of bond risk premiums different for industrial versus utility bonds (i.e. market segmentation)? First, a multiple discriminant analysis of eight financial variables is conducted to verify an underlying argument that divergent operational characteristics lead to different financial profiles. Linear regression analyses are then performed cross‐sectionally for the years 1975 to 1979. The results indicate that (1) the market segmentation effect materially affects the determination of bond premiums, (2) the business cycle is an important factor, and (3) utility premiums are less sensitive to fmancial risk than industrial bond premiums.