The DOI matches its Crossref record; 10 of the 10 references it cites were found in a registry or an index.
Issuer Quality and Corporate Bond Returns
Open accessAbstract
We show that the credit quality of corporate debt issuers deteriorates during credit booms and that this deterioration forecasts low excess returns to corporate bondholders. The key insight is that changes in the pricing of credit risk disproportionately affect the financing costs faced by low-quality firms, so debt issuance of low-quality firms is particularly useful for forecasting bond returns. We show that a significant decline in issuer quality is a more reliable signal of credit market overheating than rapid aggregate credit growth. We use these findings to investigate the forces driving time variation in expected corporate bond returns.
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Cites
Tversky, A., & Kahneman, D. (1974) · Science · doi:10.1126/science.185.4157.1124 · Cited by 28,810
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Efficient capital markets: A review of theory and empirical work
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Agency Costs, Net Worth, And Business Fluctuations
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Predicting excess stock returns out of sample: Can anything beat the historical average?
Campbell, J. Y., & Thompson, S. B. (2008) · Review of Financial Studies · doi:10.1093/rfs/hhm055 · Cited by 2,919
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The financial accelerator, and the flight to quality
Bernanke, B., Gertler, M., & Gilchrist, S. (1996) · The Review of Economics and Statistics · doi:10.2307/2109844 · Cited by 2,351
Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
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Metadata
- Authors
- Greenwood, R., & Hanson, S. G.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2013-04-14
- Volume
- 26
- Issue
- 6
- Pages
- 1483-1525
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W2135714352
- Cited by
- 359
- References
- 10
- FWCI
- 41.30
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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