A One-Factor Model of Corporate Bond Premia
基于长期消费增长的单因子模型能解释按信用评级、信用利差等分类的公司债券组合的风险溢价，对金融学者和投资者评估债券风险有用。
A one-factor model based on long-run consumption growth explains the risk premiums on corporate bond portfolios sorted on credit rating, credit spreads, downside risk, idiosyncratic volatility, long-term reversals, maturity, and sensitivity to the financial intermediary capital factor. The estimated risk-aversion coefficient is lower when we use the consumption growth of wealthy households over a longer horizon as a risk factor, and a model with a 20-quarter horizon yields a risk-aversion coefficient of 15, a value similar to the one estimated from equity portfolios. This paper was accepted by Bruno Biais, finance. Funding: Y. Nozawa acknowledges funding from the Center for Investing at the Hong Kong University and Science and Technology. Supplemental Material: The data files and online appendix are available at https://doi.org/10.1287/mnsc.2023.4784 .