The Macroeconomic Uncertainty Premium in the Corporate Bond Market
研究了宏观经济不确定性对公司债券截面收益的影响，发现投资级和非投资级债券均存在显著的不确定性溢价，且该溢价随降级债券的剔除而下降，反映了对更高信用和宏观经济风险所需的回报增加。
Abstract We examine the role of macroeconomic uncertainty in the cross section of corporate bonds and find a significant uncertainty premium for both investment-grade (IG) (0.40% per month) and non-investment-grade (NIG) (0.81% per month) bonds. The economic-uncertainty premium declines as we progressively remove downgraded bonds, indicating that the premium represents an increase in required returns for bonds with higher credit and macroeconomic risk. The economic-uncertainty premia vary across equities and bonds in a manner consistent with the heterogeneous risk-aversion levels of dominant players in equities (retail investors) versus bonds (institutional investors).