本研究探討2002至2022年間，美國公司債市場中企業層級政治風險對信用利差（Yield Spreads）的影響。利用Hassan等人（2019）以文本分析建構的衡量指標，實證發現政治風險創新（ΔPRisk）顯著推升公司債利差，證實長期投資者（Buy-and-Hold Investors）會針對個別企業所面臨的政治風險要求風險溢酬。研究進一步顯示，外部融資依賴與財務約束是關鍵的放大機制。與私人銀行貸方不同，由於公司債券持有人具分散性且面臨監督上的搭便車問題，在缺乏專有資訊的情況下，其定價行為更聚焦於企業的長期「結構性財務風險」，而非細微的營運變動。此外，經濟政策不確定性（EPU）對個體政治風險具有強大的乘數效果，對財務體質脆弱的高收益債券（HY）衝擊尤為劇烈；相對地，恐慌指數 (VIX) 產生的系統性雜訊則掩蓋了市場對特定政治摩擦的精細定價。總體而言，本研究強調總體指標無法有效捕捉公司層級的政治風險。在公司債市場中，此風險受企業內部財務脆弱性與宏觀政策不確定性雙重放大，顯著推升了未來投資人的風險補償要求。

We investigate the impact of firm-level political risk on the yield spreads within the U.S. corporate bond market (2002–2022). Using the textual-based measure from Hassan et al. (2019), we find that political risk innovation (ΔPRisk) significantly widens spreads, confirming that Buy-and-Hold investors demand risk premiums for idiosyncratic political exposure. Then, we identify external financing dependence and financial constraints as pivotal amplifiers. Unlike private bank lenders, dispersed bondholders, facing monitoring free-rider problems and lacking proprietary information, prioritize a firm’s long-term “structural financial risk” over subtle operational changes. Furthermore, Economic Policy Uncertainty (EPU) exerts a potent multiplier effect, particularly for financially vulnerable High-Yield (HY) bonds. Conversely, the Volatility Index (VIX) generates systemic noise that drowns out the precise pricing of individual political frictions. Taken together, our findings underscore that aggregate indicators fail to capture firm-level political risk. Within the corporate bond market, this risk is doubly amplified by internal financial fragility and macroeconomic policy ambiguity, significantly driving up risk premium for prospective bondholders in the bond market.

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