This paper analyzes the influence of downside risk on defaultable bond returns. By introducing a defaultable bond …-trading model, we show that the decline in market risk tolerance and information accuracy leads to trading loss under downside … conditions. Our empirical analysis indicates that downside risk can explain a large proportion of the variation in yield spreads …

model, I show that declining real interest rates since the 1980s increased the risk premium, driving the increase in risky …

believe our work will open up a new risk investing paradigm for those seeking long-term advantages. …