Reconstructing a Century of U.S. Corporate Bonds: Credit Risk in Historical Perspective / Mohammad Ghaderi, Sébastien Plante, Nikolai Roussanov, Sang Byung Seo.

Format:

Book

Author/Creator:

Ghaderi, Mohammad.

Contributor:

Plante, Sébastien.

Roussanov, Nikolai.

Seo, Sang Byung.

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w35578.

NBER working paper series no. w35578

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2026.

Summary:

Do corporate bond investors earn compensation for bearing credit risk? We construct a new historical corporate bond database spanning 128 years to estimate a corporate bond counterpart to the equity risk premium. Combining hand-collected archival data with modern sources, we assemble a panel of over 100,000 bonds and 7 million observations. While recent samples suggest corporate bond excess returns largely reflect the term premium, our long sample reveals a sizable and statistically significant credit risk premium. Credit spreads predict future corporate bond returns and macroeconomic aggregates, though their ability to forecast business cycle fluctuations weakens when prewar data are included.

Notes:

August 2026.

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