在资产定价模型中纳入债权:来自CDS指数的证据

Q2 Economics, Econometrics and Finance Investment Management and Financial Innovations Pub Date : 2023-05-04 DOI:10.21511/imfi.20(2).2023.11
Lijing Du, Susan M. V. Flaherty
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引用次数: 0

摘要

资产定价理论认为,市场投资组合的正确代表应该包括经济的债务和股权要求,而目前的实证研究未能包括债务要求。考虑到理论模型与实证模型之间的差异以及构建代理模型的困难,本研究采用信用违约互换(CDS)市场指数作为债券市场的代理,并实证检验其对股票收益变化的解释能力。采用面板回归和Fama-MacBeth回归对2005 - 2020年所有美国上市公司进行分析,发现CDS指数收益与股票收益呈负相关关系。平均而言,CDS指数收益每增加一个标准差,股票日收益就会减少0.02%。两阶段回归的结果表明,估计的系统信用风险正定价在股票收益中,其经济规模与充分证明的贝塔风险相似。这些结果支持资产定价理论,包括债务索赔和风险回报权衡,而矛盾的信用风险难题记录在先前的研究。
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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.
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来源期刊
Investment Management and Financial Innovations
Investment Management and Financial Innovations Economics, Econometrics and Finance-Finance
CiteScore
2.50
自引率
0.00%
发文量
99
审稿时长
11 weeks
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.
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