Reconstructing a Century of U.S. Corporate Bonds: Credit Risk in Historical Perspective

Mohammad Ghaderi, Sébastien Plante, Nikolai Roussanov and Sang Byung Seo

No 35578, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: G1 G12 N21 N22 (search for similar items in EconPapers)
Date: 2026-08
Note: AP CF EFG ME
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