Is there a risk-return tradeoff in the corporate bond market? Time-series and cross-sectional evidence
公司债市场存在风险收益权衡吗?时间序列与横截面证据
We provide time-series and cross-sectional evidence on the significance of a risk-return tradeoff in the bond and equity markets. We find a significantly positive intertemporal relation between expected return and risk in the bond market. We also propose novel measures of systematic and idiosyncratic risk for individual corporate bonds and find a significantly positive cross-sectional relation between systematic risk and expected bond returns, whereas there is no significant…