{"title":"信用违约互换与权益资本成本的关系","authors":"G. Barone-Adesi, M. Brughelli","doi":"10.2139/ssrn.1719006","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":340291,"journal":{"name":"ERN: Intertemporal Firm Choice & Growth","volume":"17 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2010-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"The Relationship Between Credit Default Swap and Cost of Equity Capital\",\"authors\":\"G. Barone-Adesi, M. Brughelli\",\"doi\":\"10.2139/ssrn.1719006\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":340291,\"journal\":{\"name\":\"ERN: Intertemporal Firm Choice & Growth\",\"volume\":\"17 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2010-11-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Intertemporal Firm Choice & Growth\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.1719006\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Intertemporal Firm Choice & Growth","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1719006","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.