Issuer Quality and Corporate Bond Returns
研究发现信用繁荣期间公司债券发行人质量下降，且这种下降预示债券持有人未来超额回报较低，其中低质量公司发债行为对回报预测尤为有效。
We show that the credit quality of corporate debt issuers deteriorates during credit booms, and that this deterioration forecasts low excess returns to corporate bondholders. The key insight is that changes in the pricing of credit risk disproportionately affect the financing costs faced by low quality firms, so the debt issuance of low quality firms is particularly useful for forecasting bond returns. We show that a significant decline in issuer quality is a more reliable signal of credit market overheating than rapid aggregate credit growth. We use these findings to investigate the forces driving time-variation in expected corporate bond returns.