Asvanunt, A and Richardson, S A (2017) Credit risk premium. Journal of Fixed Income, 26 (3). pp. 6-24. ISSN 1059-8596
Abstract
Despite theoretical and intuitive reasons for a credit risk premium, past research has found little supporting empirical evidence. This is primarily due to biases in computing credit excess returns which improperly account for term risk. Using data spanning 80 years in the U.S., and nearly 20 years in Europe, we find strong evidence of credit risk premium after correctly adjusting for term risk. The credit risk premium is not spanned by other known risk premia and exhibits time variation related to economic growth and aggregate default rates. These results have important implications for asset pricing and investment decisions.
More Details
Item Type: | Article |
---|---|
Subject Areas: | Accounting |
Additional Information: |
© 2016 Institutional Investor LLC |
Date Deposited: | 01 Nov 2016 18:08 |
Date of first compliant deposit: | 26 Sep 2016 |
Subjects: |
Credit management Financial risk |
Last Modified: | 20 May 2024 00:44 |
URI: | https://lbsresearch.london.edu/id/eprint/567 |