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1、Author'spersonalcopyJournalofFinancialEconomics102(2011)233–250ContentslistsavailableatScienceDirectJournalofFinancialEconomicsjournalhomepage:www.elsevier.com/locate/jfec$Corporatebonddefaultrisk:A150-yearperspectiveab,c,deKayGiesecke,FrancisA.Longstaff,StephenS
2、chaefer,IlyaStrebulaevaStanfordUniversity,UnitedStatesbUCLAAndersonSchool,UnitedStatescNBER,UnitedStatesdLondonBusinessSchool,UnitedKingdomeGraduateSchoolofBusiness,StanfordUniversity,UnitedStatesarticleinfoabstractArticlehistory:Westudycorporatebonddefaultratesus
3、inganextensivenewdatasetspanningtheReceived24March20101866–2008period.WefindthatthecorporatebondmarkethasrepeatedlysufferedReceivedinrevisedformclustereddefaulteventsmuchworsethanthoseexperiencedduringtheGreatDepres-3January2011sion.Forexample,duringtherailroadcris
4、isof1873–1875,totaldefaultsamountedtoAccepted17January201136%oftheparvalueoftheentirecorporatebondmarket.Usingaregime-switchingAvailableonline2July2011model,weexaminetheextenttowhichdefaultratescanbeforecastbyfinancialandJELclassification:macroeconomicvariables.Wefin
5、dthatstockreturns,stockreturnvolatility,andG01changesinGDParestrongpredictorsofdefaultrates.Surprisingly,however,creditG12spreadsarenot.Overthelongterm,creditspreadsareroughlytwiceaslargeasdefaultN21losses,resultinginanaveragecreditriskpremiumofabout80basispoints.
6、WealsofindN22thatcreditspreadsdonotadjustinresponsetorealizeddefaultrates.&2011ElsevierB.V.Allrightsreserved.Keywords:DefaultratesBankruptcyCreditspreadsCreditriskpremium1.Introduction1866–2008period.Thisdatasetiscomposedofbothhand-collecteddataextractedfromhistori
7、calfinancialrecordssuchThispaperstudiesthepropertiesofcorporatebondastheCommercialandFinancialChronicleaswellastabulateddefaultratesusinganextensivenewdatasetcoveringthedatafromavarietyofsourcesincludingtheNationalBureauofEconomicResearch(NBER),theFederalReserveBoa
8、rd,StandardandPoor’s,andMoody’sInvestorsService.Inthis$Wearegratefulforvaluablecommentsandsuggestionsreceivedfromstudy,wefocusonthevalue-weighteddefault
