Recently, there has been a fast-growing literature on the determinants of corporate bond returns, in particular, the driving force of cross-sectional return variation. In this review, we first survey recent empirical studies on this important topic. We discuss cross-sectional evidence as well as time-series evidence. We then present a model-based analysis of individual corporate bond returns using the structural approach for credit risk modeling. We show, among other things, that the expected corporate bond return implied by the Merton model predicts 1-month-ahead corporate bond returns in the cross section.

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我们对公司债券回报了解多少？

最近，关于公司债券收益的决定因素，特别是横截面收益变化的驱动力的文献快速增长。在这篇综述中，我们首先调查了最近关于这个重要主题的实证研究。我们讨论横断面证据和时间序列证据。然后，我们使用信用风险建模的结构方法对单个公司债券收益进行了基于模型的分析。除其他外，我们展示了默顿模型隐含的预期公司债券收益预测了横截面中未来 1 个月的公司债券收益。