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

Elements of this paper previously circulated as part of an earlier version of “Pricing of Corporate Bonds: Evidence From a Century-Long Cross-Section.” We thank Hengjie Ai, Andrew Atkeson, Ravi Bansal, Frederico Belo, Nina Boyarchenko, Francesca Carapella, Jaewon Choi, Alexander Dickerson, Hitesh Doshi, Jintao Du, Bjørn Eraker, Chuck Fang, Darrell Duffie, Joao Gomes, Kris Jacobs, Kai Li, Xinwei Li, Yoshio Nozawa, Nan Qin, Ricardo Reis, Cesare Robotti, Mirela Sandulescu, Thomas Sargent, Benjamin Schneider, Mobina Shafaati, Ivan Shaliastovich, Zhan Shi, Zhiwei Su, Kumar Venkataraman, and seminar participants at the American Finance Association Annual Meeting, Asian Finance Association Annual Conference, Bristol-Essex-UCL Workshop on Decentralised Financial Markets, China International Conference in Finance, Derivatives and Asset Pricing Conference, Duke-UNC Asset Pricing Conference, FIRS Conference, HEC-McGill Winter Finance Workshop, INSEAD Finance Symposium, Macro Finance Society Workshop, Midwest Finance Association Annual Meeting, Minnesota Finance Department Junior Conference, Northern Finance Association Annual Meeting, Southern Finance Association Annual Meeting, Texas A&M Young Scholars Finance Consortium, UNSW Asset Pricing Workshop, Arizona State University, Federal Reserve Board, Northern Illinois University, Tsinghua University, University of Houston, University of Wisconsin-Madison, and Wharton School of the University of Pennsylvania for helpful comments and suggestions. Support for this research was provided by the University of Wisconsin-Madison, Office of the Vice Chancellor for Research with funding from the Wisconsin Alumni Research Foundation. We also gratefully acknowledge the financial support from the Alfred P. Sloan Foundation through the Macro Finance Society mini-grants program. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

• online appendix