Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a … pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …

This paper studies the implications of perceived default risk for aggregate output and productivity. Using a model of …-level probabilities of default which can be applied using data on firm-level employment and default risk. We obtain direct estimates of … firms per year. As expected, we find a strong correlation between default risk and a firm's future performance. We estimate …