Abstract The valuation of risky debt is central to theoretical and empirical work in corporate finance. Although much is known on the returns and valuation of bonds, there is hardly a consensus on the risk components of the yield spreads. This article aims to investigate the effect of investor sentiment as a systematic risk factor on speculative bond yield spreads. After applying correlation analysis to determine the strength of linear association between these two variables, a vector autoregressive (VAR) analysis and impulse response tests are used to examine the relationship between these two variables. The sample period extends from January 1997 to August 2014. In the VAR models, speculative bond spreads and consumer confidence index are used as endogenous variables. The results show that sentiment covaries with the yield spread and have a negative effect on them. The spread level of the previous period seems to be a statistically significant determinant of the current period sentiment. Empirical findings imply that investor sentiment is a systematic risk factor in risky bond markets.

中文翻译：

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投资者情绪和投机债券收益率差

摘要风险债务的估值是公司财务理论和实证研究的核心。尽管人们对债券的收益和估值了解很多，但对收益率差的风险成分却几乎没有共识。本文旨在研究投资者情绪作为系统性风险因素对投机债券收益率利差的影响。在应用相关分析确定这两个变量之间的线性关联强度之后，使用矢量自回归（VAR）分析和脉冲响应测试来检查这两个变量之间的关系。采样期从1997年1月到2014年8月。在VAR模型中，投机债券利差和消费者信心指数被用作内生变量。结果表明，情绪随着收益率分布而协变，并对它们产生负面影响。上一时期的价差水平似乎是本时期情绪的统计显着决定因素。实证结果表明，投资者情绪是风险债券市场中的系统性风险因素。