Long-run U.S. Corporate Bond Premiums

The possibility that a bond issuer may default drives the credit risk premium, the average difference in return between such a bond and a U.S. Treasury security with matched duration. The possibility that interest rates may vary drives the term premium, the average difference in return between long-duration and short-duration bonds. How have these two premiums behaved over the long run? In their March 2026 paper entitled "Reconstructing a Century of U.S. Corporate Bonds: Credit Risk in Historical Perspective", Mohammad Ghaderi, Sebastien Plante, Nikolai Roussanov and Sang Byung Seo address issues in extant long-run bond databases by constructing a new one from corporate bond quotes spanning 128 years. This sample captures major episodes of economic distress, including post-World War I recessions, the Great Depression, 1970s stagflation and the 2008 Global Financial Crisis. They then aggregate data to construct value-weighted bond market time series for the full dataset and credit risk subsets. Using hand-collected corporate bond quotes from three print archives combined with modern datasets to build a monthly sample of over 100,000 unique bonds during April 1895 through June 2022, they find that: