信用风险溢价与股票收益的横截面分析

Nils Friewald, C. Wagner, J. Zechner
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引用次数: 181

摘要

我们利用Merton()的结构模型中的一个简单见解来探索公司股票收益和信用风险之间的联系:股权和信用工具的风险溢价是相关的,因为对资产的所有索赔权必须获得相同的单位风险补偿。与理论一致,我们发现公司的股票收益随着CDS价差估计的信用风险溢价而增加。信用风险溢价包含的信息并非仅由物理或风险中性违约概率捕获。这为“困境难题”——股票回报和违约概率之间缺乏正相关关系——提供了新的线索。
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The Cross-Section of Credit Risk Premia and Equity Returns
type="main"> We explore the link between a firm's stock returns and credit risk using a simple insight from structural models following Merton ( ): risk premia on equity and credit instruments are related because all claims on assets must earn the same compensation per unit of risk. Consistent with theory, we find that firms' stock returns increase with credit risk premia estimated from CDS spreads. Credit risk premia contain information not captured by physical or risk-neutral default probabilities alone. This sheds new light on the “distress puzzle”—the lack of a positive relation between equity returns and default probabilities—reported in previous studies.
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