Explaining the rate spread on corporate bonds

被引：580

作者：

Elton, EJ ^{[1
]}

Gruber, MJ ^{[1
]}

Agrawal, D ^{[1
]}

Mann, C ^{[1
]}

机构：

[1] NYU, Stern Sch Business, New York, NY 10012 USA

来源：

JOURNAL OF FINANCE | 2001年 / 56卷 / 01期

关键词：

D O I：

10.1111/0022-1082.00324

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The purpose of this article is to explain the spread between rates on corporate and government bonds. We show that expected default accounts for a surprisingly small fraction of the premium in corporate rates over treasuries. While state taxes explain a substantial portion of the difference, the remaining portion of the spread is closely related to the factors that we commonly accept as explaining risk premiums for common stocks. Bath our time series and cross-sectional tests support the existence of a risk premium on corporate bonds.

引用

页码：247 / 277

页数：31

共 34 条

[11] A THEORY OF THE TERM STRUCTURE OF INTEREST-RATES [J].