信用违约互换与权益资本成本的关系

G. Barone-Adesi, M. Brughelli
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引用次数: 2

摘要

我们想要评估股权和债务资本成本之间的关系。我们使用一个非常简单的股息折现模型计算隐含折现率,并使用协整方法将其与公司信用违约互换的相应溢价进行比较。我们证明了这两个变量之间存在协整关系,并且我们发现了从CDS溢价到贴现因子的格兰杰因果关系的弱证据。我们的发现对不同参数假设和模型规格的选择也具有鲁棒性。
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The Relationship Between Credit Default Swap and Cost of Equity Capital
We want to assess the relationship between the equity and the debt cost of capital. Using a very simple dividend discount model we compute the implied discount rate and we compare it with the corresponding premium on the corporate credit default swap using a cointegration approach. We demonstrated the existence of a cointegrating relationship between those two variables and we found weak evidence of Granger causality from CDS premium to the discount factor. Our findings are also robust to the choice of different parameter assumptions and model specification.
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