Corporate bond prices are slow to respond to default risk and interest rate shocks, as proxied by firm-level stock returns and Treasury returns, respectively. Furthermore, the underreaction is risk-specific: bonds with better credit quality underreact more to default risk, while those with worse quality underreact more to interest rates. The underreactions imply substantial out-of-sample return predictability, and investors appear to be leaving too much money on the table. The results are consistent with behavioral inattention models in which investors endogenously allocate more attention to payoff-relevant (or salient) risks, and they are not explained by traditional trading friction mechanisms.

公司债券价格对违约风险和利率冲击的反应缓慢，分别以公司层面的股票回报和国债回报为代表。此外，反应不足是针对特定风险的：信用质量较好的债券对违约风险反应不足，而质量较差的债券对利率反应不足。反应不足意味着样本外回报的可预测性很高，投资者似乎把太多的钱留在了桌面上。结果与行为疏忽模型一致，在该模型中，投资者将更多注意力内生地分配到与收益相关（或显着）风险上，并且不能用传统的交易摩擦机制来解释。