The term structure of credit spreads, firm fundamentals, and expected stock returns

• 成果类型: Article
• 署名作者: Han, Bing; Subrahmanyam, Avanidhar; Zhou, Yi
• 署名单位: University of Toronto; Shanghai Jiao Tong University; University of California System; University of California Los Angeles; California State University System; San Francisco State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.01.002
• 发表日期: 2017
• 页码: 147-171
• 关键词: Cross section of stock return; Credit default spreads; term structure; Information diffusion

摘要

We explore the link between credit and equity markets by considering the informational content of the term structure of credit spreads. A shallower credit term structure predicts decreases in default risk and increases in future profitability, as well as favorable earnings surprises. Further, the slope of the credit term structure negatively predicts future stock returns. While systematic slope risk is priced, information diffusion from the credit market to equities, particularly in less visible stocks, plays an additional role in accounting for return predictability from credit slopes. That is, such predictability is less evident in stocks with high institutional ownership, analyst coverage, and liquidity, and vice versa. (C) 2017 Elsevier B.V. All rights reserved.