We examine the role of macroeconomic uncertainty in the cross section of corporate bonds and find a significant uncertainty premium for both investment-grade (IG) (0.40% per month) and non-investment-grade (NIG) (0.81% per month) bonds. The economic-uncertainty premium declines as we progressively remove downgraded bonds, indicating that the premium represents an increase in required returns for bonds with higher credit and macroeconomic risk. The economic-uncertainty premia vary across equities and bonds in a manner consistent with the heterogeneous risk-aversion levels of dominant players in equities (retail investors) versus bonds (institutional investors).

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公司债券市场的宏观经济不确定性溢价

我们研究了宏观经济不确定性在公司债券横截面中的作用，发现投资级（IG）（每月 0.40%）和非投资级（NIG）（每月 0.81%）债券的不确定性溢价显着. 随着我们逐步移除降级债券，经济不确定性溢价下降，这表明溢价代表信用和宏观经济风险较高的债券所需回报的增加。经济不确定性溢价因股票和债券而异，其方式与股票（散户投资者）与债券（机构投资者）的主导参与者的异质风险规避水平一致。