Estimating the Term Structure of Corporate Bond Risk Premia

Tomas Jankauskas
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Tomas Jankauskas: https://www.newyorkfed.org/research/economists/Jankauskas

No 20260224, Liberty Street Economics from Federal Reserve Bank of New York

Abstract: Understanding how short- and long-term assets are priced is one of the fundamental questions in finance. The term structure of risk premia allows us to perform net present value calculations, test asset pricing models, and potentially explain the sources of many cross-sectional asset pricing anomalies. In this post, I construct a forward-looking estimate of the term structure of risk premia in the corporate bond market following Jankauskas (2024). The U.S. corporate bond market is an ideal laboratory for studying the relationship between risk premia and maturity because of its large size (standing at roughly $16 trillion as of the end of 2024) and because the maturities are well defined (in contrast to equities).

Keywords: risk premia term structure; corporate bonds (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
Date: 2026-02-24
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DOI: 10.59576/lse.20260224

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