Which uncertainty measures matter for the cross-section of corporate bond returns? Evidence from the U.S. during 1973–2020

Kiryoung Lee

Finance Research Letters, 2022, vol. 48, issue C

Abstract: I examine which economic uncertainty measures matter for the cross-section of corporate bond returns using 40 corporate bond portfolios for a long period from 1973 to 2020. Out of a comprehensive list of 24 economic uncertainty measures, I find that tax policy uncertainty is the most significant both economically and statistically. I also find that measures that are documented as significantly priced factors – VIX, EPU, and economic uncertainty measures (Jurado et al., 2015) – are not robust to the long sample period and my empirical approach to rigorously estimate uncertainty shocks.

Keywords: Economic uncertainty index; Cross-section of corporate bond returns; Tax policy uncertainty (search for similar items in EconPapers)
JEL-codes: C13 D80 G12 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001842

DOI: 10.1016/j.frl.2022.102913

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