Issuer Quality and Corporate Bond Returns

@article{Greenwood2013IssuerQA,
  title={Issuer Quality and Corporate Bond Returns},
  author={R. Greenwood and S. Hanson},
  journal={Review of Financial Studies},
  year={2013},
  volume={26},
  pages={1483-1525}
}
Changes in the pricing of credit risk disproportionately affect the debt financing costs faced by low credit quality firms. As a result, time-series variation in the average quality of debt issuers may be useful for forecasting excess corporate bond returns. We show that when issuance comes disproportionately from lower quality borrowers, future excess returns on high yield and investment grade bonds are low and often significantly negative. The degree of predictability is large in both… Expand
214 Citations
Monetary Policy and Corporate Bond Returns
  • 1
  • PDF
How Does Low for Long Impact Credit Risk Premiums?
  • Highly Influenced
  • PDF
Extrapolative Expectations, Corporate Activities, and Asset Prices∗
  • PDF
The q-Factors and Expected Bond Returns
  • Highly Influenced
Essays in Financial Economics
...
1
2
3
4
5
...

References

SHOWING 1-10 OF 148 REFERENCES
Credit Spreads and Business Cycle Fluctuations
  • 1,249
  • PDF
Bond Risk Premia
  • 1,198
  • PDF
The Maturity of Debt Issues and Predictable Variation in Bond Returns
  • 247
  • PDF
A Comprehensive Look at the Empirical Performance of Equity Premium Prediction
  • 2,569
  • PDF
Rare Events and the Equity Premium
  • 100
  • PDF
Predicting returns in the stock and bond markets
  • 1,687
Institutional Demand Pressure and the Cost of Corporate Loans
  • 152
  • PDF
...
1
2
3
4
5
...