Credit risk premium

Asvanunt, A and Richardson, S A (2017) Credit risk premium. Journal of Fixed Income, 26 (3). pp. 6-24. ISSN 1059-8596


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

Export and Share


Full text not available from this repository.


View details on Dimensions' website

Downloads from LBS Research Online

View details

Actions (login required)

Edit Item Edit Item