We investigate the cross-sectional determinants of corporate bond returns and find that
downside risk is the strongest predictor of future bond returns. We also introduce common …

Default risk permeates the behavior of corporate bond returns and spreads, credit default
swap spreads, estimation of default probabilities, and loss in default. Pertinent to this review …

This paper shows that low‐risk anomalies in the capital asset pricing model and in
traditional factor models arise when investors require compensation for coskewness risk …

This paper investigates the information in corporate credit ratings. If ratings are to be
informative indicators of credit risk, they must reflect what a risk-averse investor cares about …

We decompose corporate bond and equity index returns into duration-matched government
bond returns and the excess returns over this duration-matched counterfactual, which we …

We adapt structural models of default risk to take into account the special nature of bank
assets. The usual assumption of lognormally distributed asset values is not appropriate for …

Are standard structural models able to explain credit spreads on corporate bonds? In
contrast to much of the literature, we find that the Black-Cox model matches the level of …

At the announcement of a new policy, agents form a view of state-contingent policy actions
and impact. We develop a method to estimate this state-contingent perception and …

ABSTRACT I decompose the variation of credit spreads for corporate bonds into changing
expected returns and changing expectation of credit losses. Using a log‐linearized pricing …

We revisit Feldhütter and Schaefer (FS, 2018), who report evidence of a “credit spread
puzzle” for high-yield but not investment-grade bonds. We show their results are reversed …