Explaining the Rate Spread on Corporate Bonds
分析公司债券与国债利率利差的构成，发现预期违约只能解释很小一部分，州税解释较大比例，剩余部分与股票风险溢价因素相关，支持公司债券存在风险溢价。
ABSTRACT The purpose of this article is to explain the spread between rates on corporate and government bonds. We show that expected default accounts for a surprisingly small fraction of the premium in corporate rates over treasuries. While state taxes explain a substantial portion of the difference, the remaining portion of the spread is closely related to the factors that we commonly accept as explaining risk premiums for common stocks. Both our time series and cross‐sectional tests support the existence of a risk premium on corporate bonds.