Is Default Event Risk Priced in Corporate Bonds?
分解了决定公司债券预期收益的违约、流动性和税收因素，重点估计了违约事件的风险溢价，发现共同强度因子风险溢价以及税收和流动性效应能较好解释预期收益水平。
This article provides an empirical decomposition of the default, liquidity, and tax factors that determine expected corporate bond returns. In particular, the risk premium associated with a default event is estimated. The intensity-based model is estimated using bond price data for 104 US firms and historical default rates. Significant risk premia on common intensity factors and important tax and liquidity effects are found. These components go a long way towards explaining the level of expected corporate bond returns. Adding a positive default event risk premium helps to explain the remaining error, although this premium cannot be estimated with high statistical precision. Copyright 2005, Oxford University Press.