Duration-Based Valuation of Corporate Bonds
将公司债券和股票指数收益分解为久期匹配的国债收益和超额收益（久期调整收益），发现投资级债券的信用风险溢价很小，且久期调整解决了CAPM无法定价公司债券的问题。
Abstract We decompose corporate bond and equity index returns into duration-matched government bond returns and the excess returns over this duration-matched counterfactual, which we term duration-adjusted returns. Compared with previously used excess return definitions (ie, returns in excess of Treasury bills), our decomposition leads to markedly different return patterns and asset pricing implications. In particular, we find that investment-grade bonds earn a small credit risk premium, comparable in magnitude to the convenience yield, and that duration adjustment resolves the CAPM’s failure to price corporate bonds. These findings highlight the importance of adjusting for nonstationary interest rate environments in asset pricing tests.