What Do We Know About Corporate Bond Returns?
综述了公司债券回报决定因素的最新实证研究，包括横截面和时间序列证据，并用Merton模型分析了个体债券预期回报对实际回报的预测能力。
Recently, there has been a fast-growing literature on the determinants of corporate bond returns, in particular, the driving force of cross-sectional return variation. In this review, we first survey recent empirical studies on this important topic. We discuss cross-sectional evidence as well as time-series evidence. We then present a model-based analysis of individual corporate bond returns using the structural approach for credit risk modeling. We show, among other things, that the expected corporate bond return implied by the Merton model predicts 1-month-ahead corporate bond returns in the cross section.