Keywords: Credit Information Ambiguity, Bond Uncertainty Premia, Return Predictability
JEL Classification: G12, G14, G24
학회소식
[2022년 5차 CAFM2022]Credit Information Ambiguity Premia
작성자 : 관리자
조회수 : 299
게시일 :
2022-12-20
This paper studies the asset pricing of credit information ambiguity (CIA). Based on a theory of learning under ambiguity aversion, we recursively estimate CIA as the statistical proximity of predicted firm survival probabilities of major credit rating agencies, using credit ratings and historical default rates. The CIA factor positively and significantly explains expected bond returns, predicting around 15% of return premia. A multi-factor model capturing the cross-section of CIA, credit rating, and downside risk consistently prices average corporate bond returns. The results remain robust to alternate specifications and multiple hypothesis testing. Finally, CIA significantly predicts CDS spreads and stock returns.
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