{"title":"在资产定价模型中纳入债权:来自CDS指数的证据","authors":"Lijing Du, Susan M. V. Flaherty","doi":"10.21511/imfi.20(2).2023.11","DOIUrl":null,"url":null,"abstract":"Asset pricing theory suggests that the correct proxy for the market portfolio should contain both the debt and equity claims of the economy, whereas prevailing empirical studies fail to include the debt claim. Motived by the discrepancy between the theoretical and empirical models and the difficulty in constructing proxies, the study uses the Credit Default Swaps (CDS) market index as a proxy for the debt market and empirically tests its explanatory power in explaining stock return variations. Employing panel regression and Fama-MacBeth regression of all publicly traded U.S. companies from 2005 to 2020, the study finds a negative relationship between CDS index returns and stock returns. On average, a one standard deviation increase in CDS index return is associated with a 0.02% decrease in daily stock returns. Results of two-stage regressions show that the estimated systematic credit risk is positively priced in stock returns with similar economic magnitude as the well-documented beta risk. These results support asset pricing theories in the inclusion of debt claim and the risk-return tradeoff, while contradicting the credit risk puzzle documented in prior studies.","PeriodicalId":39060,"journal":{"name":"Investment Management and Financial Innovations","volume":"19 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2023-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Inclusion of debt claims in asset pricing models: Evidence from the CDS Index\",\"authors\":\"Lijing Du, Susan M. V. Flaherty\",\"doi\":\"10.21511/imfi.20(2).2023.11\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Asset pricing theory suggests that the correct proxy for the market portfolio should contain both the debt and equity claims of the economy, whereas prevailing empirical studies fail to include the debt claim. Motived by the discrepancy between the theoretical and empirical models and the difficulty in constructing proxies, the study uses the Credit Default Swaps (CDS) market index as a proxy for the debt market and empirically tests its explanatory power in explaining stock return variations. Employing panel regression and Fama-MacBeth regression of all publicly traded U.S. companies from 2005 to 2020, the study finds a negative relationship between CDS index returns and stock returns. On average, a one standard deviation increase in CDS index return is associated with a 0.02% decrease in daily stock returns. Results of two-stage regressions show that the estimated systematic credit risk is positively priced in stock returns with similar economic magnitude as the well-documented beta risk. These results support asset pricing theories in the inclusion of debt claim and the risk-return tradeoff, while contradicting the credit risk puzzle documented in prior studies.\",\"PeriodicalId\":39060,\"journal\":{\"name\":\"Investment Management and Financial Innovations\",\"volume\":\"19 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-05-04\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Investment Management and Financial Innovations\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.21511/imfi.20(2).2023.11\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"Economics, Econometrics and Finance\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Investment Management and Financial Innovations","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.21511/imfi.20(2).2023.11","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}
Inclusion of debt claims in asset pricing models: Evidence from the CDS Index
Asset pricing theory suggests that the correct proxy for the market portfolio should contain both the debt and equity claims of the economy, whereas prevailing empirical studies fail to include the debt claim. Motived by the discrepancy between the theoretical and empirical models and the difficulty in constructing proxies, the study uses the Credit Default Swaps (CDS) market index as a proxy for the debt market and empirically tests its explanatory power in explaining stock return variations. Employing panel regression and Fama-MacBeth regression of all publicly traded U.S. companies from 2005 to 2020, the study finds a negative relationship between CDS index returns and stock returns. On average, a one standard deviation increase in CDS index return is associated with a 0.02% decrease in daily stock returns. Results of two-stage regressions show that the estimated systematic credit risk is positively priced in stock returns with similar economic magnitude as the well-documented beta risk. These results support asset pricing theories in the inclusion of debt claim and the risk-return tradeoff, while contradicting the credit risk puzzle documented in prior studies.
期刊介绍:
The international journal “Investment Management and Financial Innovations” encompasses the results of theoretical and empirical researches carried out both on macro- and micro-levels, concerning various aspects of financial management and corporate governance, investments and innovations (including using of quantitative methods). It is focused on the international community of financiers, both academics and practitioners. Key topics: financial and investment markets; government policy and regulation; corporate governance; information and market efficiency; financial forecasting and simulation; financial institutions: investment companies, investment funds, investment banks, hedge funds, private pension funds; objects of real and financial investing; financial instruments and derivatives; efficiency of investment projects; econometric and statistic methods in project management; alternative investments; ratings and rating agencies.