What Drives the Excess Bond Premium?
19.September 2025
The Excess Bond Premium (EBP – the portion of corporate bond spreads not explained by default risk), a key metric in quantitative finance for gauging credit spreads, has long been a subject of intense scrutiny. Recent research sheds new light on its dynamics, moving beyond traditional macroeconomic factors to explore the role of information flow. By analyzing news attention across 180 topics, a significant portion of the EBP’s variation can be explained, offering a novel lens to understand its fluctuations and predictive power.
