主题：Reconstructing a Century of U.S. Corporate Bonds: Credit Risk in Historical Perspective

主讲人：Sebastien Plante，威斯康辛大学助理教授

时间：4月8日（周三）上午10:00-11:30

地点：4-101教室

语言：英文

摘要：

Do investors in corporate bonds earn compensation for bearing default risk in the form of a credit risk premium? We construct a new historical corporate bond database spanning 128 years, from 1895 to 2022, which allows us to estimate a corporate bond counterpart to the equity risk premium. Combining hand-collected monthly corporate bond quotes from three archival print sources with modern datasets, we assemble a panel comprising over 100,000 unique bonds and more than 7 million observations. While evidence from recent samples suggests that corporate bond excess returns are driven largely by the term premium similar to that earned by U.S. Treasuries, our longer historical sample reveals a sizable and statistically significant risk premium that increases monotonically with credit risk. Aggregate credit spreads predict future corporate bond returns and macroeconomic aggregates, although their predictive power for business cycle fluctuations weakens when prewar data that include the Great Depression are included.

主讲人简介：

Sebastien Plante joined the Wisconsin School of Business faculty in June 2018 as an Assistant Professor in the Department of Finance. Professor Plante’s research interests are in microstructure, credit markets, liquidity, and corporate finance. Professor Plante earned his BSc in Mathematical Economics and his MSc in Financial Engineering from Laval University in Canada, and his PhD in Finance from The Wharton School at the University of Pennsylvania.