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

Author

Listed:
  • Mohammad Ghaderi
  • Sébastien Plante
  • Nikolai Roussanov
  • Sang Byung Seo

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.

Suggested Citation

  • Mohammad Ghaderi & Sébastien Plante & Nikolai Roussanov & Sang Byung Seo, 2026. "Reconstructing a Century of U.S. Corporate Bonds: Credit Risk in Historical Perspective," NBER Working Papers 35578, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:35578
    Note: AP CF EFG ME
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    More about this item

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • N21 - Economic History - - Financial Markets and Institutions - - - U.S.; Canada: Pre-1913
    • N22 - Economic History - - Financial Markets and Institutions - - - U.S.; Canada: 1913-

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