We decompose corporate bond and equity index returns into duration-matched government bond returns and the excess returns over this duration-matched counterfactual, which we term duration-adjusted returns. Compared with previously used excess return definitions (ie, returns in excess of Treasury bills), our decomposition leads to markedly different return patterns and asset pricing implications. In particular, we find that investment-grade bonds earn a small credit risk premium, comparable in magnitude to the convenience yield, and that duration adjustment resolves the CAPM’s failure to price corporate bonds. These findings highlight the importance of adjusting for nonstationary interest rate environments in asset pricing tests. (JEL G10, G12)

中文翻译：

---

公司债券基于久期的估值


我们将公司债券和股票指数回报分解为久期匹配的政府债券回报以及超过久期匹配反事实的超额回报，我们将其称为久期调整回报。与之前使用的超额收益定义（即收益超过国库券）相比，我们的分解导致了明显不同的收益模式和资产定价影响。特别是，我们发现投资级债券的信用风险溢价很小，其幅度与便利收益率相当，而且久期调整解决了 CAPM 无法为公司债券定价的问题。这些发现凸显了在资产定价测试中调整非平稳利率环境的重要性。 （杰尔 G10、G12）