Issuer quality and corporate bond returns

Review of Financial Studies

Volumn 26, Issue 6, 2013, Pages 1483-1525

  Greenwood, Robin ^a   Hanson, Samuel G ^a  

^a HARVARD BUSINESS SCHOOL   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84877877172     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hht016     Document Type: Article

References (75)

1. Adrian, T., E. Moench, and H. S. Shin. 2010. Macro risk premium and intermediary balance sheet quantities. IMF Economic Review 58:179-207.
2. Asquith, P.,D.Mullins, and E.Wolff. 1989. Original issue high yield bonds:Aging analyses of defaults, exchanges, and calls. Journal of Finance 44:923-52
3. Atkinson, T. R. 1967. Trends in corporate bond quality. New York: Columbia University Press
4. Axelson, U., T. Jenkinson, P. Stromberg, and M. S. Weisbach. Forthcoming. Leverage and pricing in buyouts: An empirical analysis. Journal of Finance
5. Baghai, R., H. Servaes, and A. Tamayo. 2010. Have rating agencies become more conservative?Working Paper, London Business School
6. Baker, M., and J.Wurgler. 2000. The equity share in new issues and aggregate stock returns. Journal of Finance 55:2219-57
7. Baker, M., R. Greenwood, and J. Wurgler. 2003. The maturity of debt issues and predictable variation in bond returns. Journal of Financial Economics 70:261-91
8. Bansal, R., and A. Yaron. 2004. Risks for the long run:Apotential resolution of asset pricing puzzles. Journal of Finance 59:1481-509
9. Barberis, N., A. Shleifer, and R. Vishny. 1998. A model of investor sentiment. Journal of Financial Economics 49:307-43
10. Barro, R. J. 2006. Rare disasters and asset markets in the twentieth century. Quarterly Journal of Economics 121:823-66
11. Basel Committee on Banking Supervision. 2010. The Basel Committee's Response to the Financial Crisis: Report to the G20. Available at: Www.bis.org/publ/bcbs179.pdf
12. Becker, B., and V. Ivashina. 2010. Cyclicality of credit supply: Firm level evidence. Working Paper, Harvard Business School
13. Bernanke, B., and M. Gertler. 1989. Agency costs, net worth, and business fluctuations. American Economic Review 79:14-31
14. Bernanke, B., M. Gertler, and S. Gilchrist. 1996. The financial accelerator and the flight to quality. Review of Economics and Statistics 78:1-15
15. Bhamra, H. S., L. A. Kuehn, and I. A. Strebulaev. 2008. The aggregate dynamics of capital structure and macroeconomic risk.Working Paper, Standard University
16. Bharath, S. T., and T. Shumway. 2008. Forecasting default with the Merton distance to default model. Review of Financial Studies 21:1339-69
17. Blinder,A. 2010. The Squam Lake report: Fifteen economists in search of financial reform. Journal of Monetary Economics 57:892-902
18. Blume, M. E., F. Lim, and A. C. MacKinlay. 1998. The declining credit quality of U.S. corporate debt: Myth or reality? Journal of Finance 53:1389-413
19. Campbell, J. Y., and J. H. Cochrane. 1999. By force of habit: A consumption-based explanation of aggregate stock market behavior. Journal of Political Economy 107:205-51
20. Campbell, J. Y., and S. B. Thompson. 2008. Predicting excess stock returns out of sample: Can anything beat the historical average? Review of Financial Studies 21:1509-31
21. Chen, H. 2009. Macroeconomic conditions and the puzzles of credit spreads and capital structure. Journal of Finance 65:2171-212
22. Chen, L., P. Collin-Dufresne, and R. S. Goldstein. 2009. On the relation between the credit spread puzzle and the equity premium puzzle. Review of Financial Studies 22:3367-409
23. Cochrane, J., and M. Piazzesi. 2005. Bond risk premia. American Economic Review 95:138-60
24. Collin-Dufresne, P., R. S. Goldstein, and J. S. Martin. 2001. The determinants of credit spread changes. Journal of Finance 56:2177-207
25. Coval, J. D., J. W. Jurek, and E. Stafford. 2009. Economic catastrophe bonds. American Economic Review 99:628-66
26. Demyanyk, Y. S., and O. Van Hemert. 2011. Understanding the subprime mortgage crisis. Review of Financial Studies 24:1848-80
27. Duffie, D. 2010. Asset price dynamics with slow-moving capital. Journal of Finance 65:1238-68
28. Erel, I., B. Julio, W. Kim, and M. Weisbach. 2012. Macroeconomic conditions and capital raising. Review of Financial Studies 25:341-76
29. Fama, E. F. 1970. Efficient capital markets: A review of theory and empirical work. Journal of Finance 25: 383-417
30. - 1981. Stock returns, real activity, inflation and money. American Economic Review 71:545-65
31. Fama, E. F., and K. R. French. 1988. Dividend yields and expected stock returns. Journal of Financial Economics 22:3-25
32. -. 1989. Business conditions and expected returns on stocks and bonds. Journal of Financial Economics 25:23-50
33. -. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33: 3-56
34. -. 2008. Dissecting anomalies. Journal of Finance 63:1653-78
35. Fama, E. F., and G.W. Schwert. 1977. Asset returns and inflation. Journal of Financial Economics 5:115-46
36. Gabaix, X. 2011.Variable rare disasters:An exactly solved framework for ten puzzles in macro-finance. Quarterly Journal of Economics 127:645-700
37. Garleanu, N., and L. H. Pedersen. 2010. Margin-based asset pricing and deviations from the law of one price. Working Paper, New York University.
38. Gertler, M., and C. Lown. 1999. The information content of the high yield bond spread for the business cycle. Oxford Review of Economic Policy 15:132-50
39. Gilchrist, S., and E. Zakrajšek. 2012. Credit spreads and business cycle fluctuations. American Economic Review 102:1692-720
40. Grant, J. 1992. Money of the mind. New York: Farrar, Straus and Giroux
41. Greenwood, R., and S. Hanson. 2012. Share issuance and factor timing. Journal of Finance 67:761-98
42. Greenwood, R., S. Hanson, and J. C. Stein. 2010.Agap-filling theory of corporate debt maturity choice. Journal of Finance 65:993-1028
43. Gromb, D., and D. Vayanos. 2002. Equilibrium and welfare in markets with constrained arbitrageurs. Journal of Financial Economics 66:361-407
44. He, Z., and A. Krishnamurthy. 2010. Intermediary asset pricing.Working Paper
45. Hickman, W. B. 1958. Corporate bond quality and investor experience. Princeton, NJ: Princeton University Press.
46. -. 1960. Statistical measures of corporate bond financing since 1900. Ann Arbor, MI: UMI. Hodrick, R., and E. C. Prescott. 1997. Postwar U.S. business cycles: An empirical investigation. Journal of Money, Credit, and Banking 29:1-16
47. Holmstrom, B., and J. Tirole. 1997. Financial intermediation, loanable funds and the real sector. Quarterly Journal of Economics 112:663-91
48. Ivashina, V., and D. Scharfstein. 2009. Bank lending in the financial crisis of 2008. Journal of Financial Economics 97:319-38
49. Ivashina,V., and Z. Sun. 2011. Institutional demand pressure and the cost of corporate loans. Journal of Financial Economics 99:500-22
50. Jensen, M. C., andW. H. Meckling. 1976. Theory of the firm: Managerial behavior, agency costs and ownership structure. Journal of Financial Economics 3:305-60
51. Kaplan, S. N., and J. C. Stein. 1993. The evolution of pricing and financial structure in the 1980s. Quarterly Journal of Economics 108:313-57
52. Kashyap, A. K., J. C. Stein, and D.W.Wilcox. 1993. Monetary policy and credit conditions: Evidence from the composition of external finance. American Economic Review 83:78-98
53. Keim, D. B., and R. F. Stambaugh. 1986. Predicting returns in the stock and bond markets. Journal of Financial Economics 17:357-90
54. Kiyotaki, N., and J. Moore. 1997. Credit cycles. Journal of Political Economy 105:211-48
55. Klarman, S. 1991. Margin of safety: Risk-averse value investing strategies for the thoughtful investor. NewYork: Harper Collins
56. Kothari, S. P., and J. Shanken. 1997. Book-to-market, dividend yield, and expected market returns:Atime-series analysis. Journal of Financial Economics 44:169-203
57. Krishnamurthy, A., and A. Vissing-Jorgensen. 2010. The aggregate demand for treasury debt. Working Paper, Northwestern University
58. Lettau, M., and S. Ludvigson. 2001. Resurrecting the (C)CAPM: A cross-sectional test when risk premia are time-varying. Journal of Political Economy 109:1238-87
59. Loughran, T., and J. R. Ritter. 1995. The new issues puzzle. Journal of Finance 50:23-51
60. Lown, C., and D. P. Morgan. 2006. The credit cycle and the business cycle: New findings using the loan officer opinion survey. Journal of Money, Credit and Banking 38:1575-97
61. Ludvigson, S., and S. Ng. 2010.Afactor analysis of bond risk premia. In Handbook of empirical economics and finance, 313-372. Eds. A. Uhla and D. E. A. Giles. Boca Raton, FL: Chapman and Hall
62. Merton, R. C. 1974. On the pricing of corporate debt: The risk structure of interest rates. Journal of Finance 29:449-70
63. Modigliani, F., and M. H. Miller. 1958. The cost of capital, corporation finance and the theory of investment. American Economic Review 48:261-97.
64. Newey, W. K., and K. D. West. 1987. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55:703-8
65. Pontiff, J., and A.Woodgate. 2008. Share issuance and cross-sectional returns. Journal of Finance 63:921-45
66. Rajan, R. 2005. Has financial development made the world riskier? Jackson Hole Economic Symposium Proceedings. Federal Reserve Bank of Kansas City. pp. 313-69
67. Shivdasani, A., and Y. Wang. 2009. Did structured credit fuel the LBO boom? Working Paper, University of North Carolina
68. Shumway, T. 2001. Forecasting bankruptcy more accurately: A simple hzard model. Journal of Business 74: 101-24
69. Stambaugh, R. F. 1999. Predictive regressions. Journal of Financial Economics 54:375-421
70. Stein, J. C. 1996. Rational capital budgeting in an irrational world. Journal of Business 69:429-55
71. -. 2013. Overheating in credit markets: Origins, measurement, and policy responses, remarks at Restoring household financial stability after the Great Recession: Why household balance sheets matter. Federal Reserve Bank of St. Louis
72. Stock, J. H., and M.W.Watson. 2003. Has the business cycle changed and why? NBER Macroeconomics Annual, 2002. 17:159-230
73. Thoma, M. A., and J. A. Gray. 1998. Financial market variables do not predict real activity. Economic Inquiry 36:522-39
74. Tversky,A., and D. Kahneman. 1974. Judgment under uncertainty: Heuristics and biases. Science 185:1124-31
75. Welch, I., and A. Goyal. 2008.Acomprehensive look at the empirical performance of equity premium prediction. Review of Financial Studies 21:1455-508.