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The Macroeconomic Uncertainty Premium in the Corporate Bond Market.
- Source :
- Journal of Financial & Quantitative Analysis; Aug2021, Vol. 56 Issue 5, p1653-1678, 26p
- Publication Year :
- 2021
-
Abstract
- We examine the role of macroeconomic uncertainty in the cross section of corporate bonds and find a significant uncertainty premium for both investment-grade (IG) (0.40% per month) and non-investment-grade (NIG) (0.81% per month) bonds. The economic-uncertainty premium declines as we progressively remove downgraded bonds, indicating that the premium represents an increase in required returns for bonds with higher credit and macroeconomic risk. The economic-uncertainty premia vary across equities and bonds in a manner consistent with the heterogeneous risk-aversion levels of dominant players in equities (retail investors) versus bonds (institutional investors). [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00221090
- Volume :
- 56
- Issue :
- 5
- Database :
- Complementary Index
- Journal :
- Journal of Financial & Quantitative Analysis
- Publication Type :
- Academic Journal
- Accession number :
- 151773225
- Full Text :
- https://doi.org/10.1017/S0022109020000538