How Risky are the U.S. Corporate Assets?

We use market data on corporate bonds and equities to measure the value of U.S. corporate assets and their payouts to investors. In contrast to per share equity dividends, total corporate payouts are very volatile, turn negative when corporations raise capital, and are acyclical. This challenges the notion of risk and return since the risk premium on corporate assets is comparable to the standard equity premium. To reconcile this evidence, we show empirically that aggregate net issuances are acyclical and highly volatile, and mask a strong exposure of total payouts' cash components to low-frequency growth risks. We develop an asset-pricing framework to quantitatively assess this economic channel.