Corrigendum—The Macroeconomic Uncertainty Premium in the Corporate Bond Market

Turan G. Bali, Avanidhar Subrahmanyam, and Quan Wen

♦ In this corrigendum, we address three issues in Bali, Subrahmanyam, and Wen (BSW) (2021). First, we included in BSW an inaccurate description of the database employed, which we now correct. Second, we correct the description of one of the control variables, bond illiquidity, employed in BSW. Finally, in light of the shortcomings of the Bai, Bali, and Wen (BBW) (2019) factors that are highlighted by Dickerson, Mueller, and Robotti (2023), we replace the 4-factor model of BBW with alternative factor models.

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