Corporate Bonds and the Credit Premium: A Distinct Asset Class with a Long History
利用美国与英国自1860年代以来的长期数据，证明公司债券（包括高评级和垃圾债）提供显著信用风险溢价，并分析其收益率差、违约率及作为独立资产类别的特征。
This article presents and interprets long-run evidence on corporate bonds since the 1860s for both the United States and United Kingdom. Even very high-quality corporate bonds have provided a significant credit risk premium, and the reward from buying high-yield (or junk) bonds is appreciably higher. Yield spreads of corporates over government bonds incorporate this premium but are not a measure of the expected premium because they also encapsulate expected default losses. This study reports on default and recovery rates over the long haul and reviews the determinants of yield spreads and default rates. The authors present evidence showing that corporate bonds are a distinct asset class. Finally, it examines whether factors and other return regularities can help boost corporate bond returns and provide positive premia.