Issuer Quality and the Credit Cycle

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Author: Robin Greenwood and Samuel G. Hanson

ABSTRACT：We show that the credit quality of corporate debt issuers deteriorates during credit booms, and that this deterioration forecasts low excess returns to corporate bondholders. The key insight is that changesin the pricing of credit risk disproportionately affect the financing costs faced by low quality firms,so the debt issuance of low quality firms is particularly useful for forecasting bond returns. We show that a significant decline in issuer quality is a more reliable signal of credit market overheating than rapid aggregate credit growth. We use these findings to investigate the forces driving time-variation in expected corporate bond returns.

Robin Greenwood

Harvard Business School

Baker Library 267

Soldiers Field

Boston, MA 02163

and NBER

rgreenwood@hbs.edu

Samuel G. Hanson

Harvard Business School

Soldiers Field Road

Boston, MA 02163

shanson@hbs.edu

Download: Issuer Quality and the Credit Cycle.pdf (317.8 KB)

2011-8-8 17:05:28 上传

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关键词：quality Credit cycle issue Edit corporate financing returns useful affect

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好像查看附件的用户级有点高啊

我们的分析表明,信贷质量恶化的债务发行人在信贷繁荣,这恶化预测低额外的回报公司债券存根簿。关键是,changesin洞察力的定价信用风险不成比例的影响所面临的融资费用低质量的公司,公司债券发行低品质的预测是特别有用的债券回报。我们的分析表明,明显下降发行人质量是一个更可靠的信贷市场过热的信号比快速总贷款的增长。我们用这些结果来探讨在预期的力量驱动动态公司债券的回报。