The Cross-Section of Credit Risk Premia and Equity Returns

• 成果类型: Article
• 署名作者: Friewald, Nils; Wagner, Christian; Zechner, Josef
• 署名单位: Vienna University of Economics & Business; Copenhagen Business School
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12143
• 发表日期: 2014
• 页码: 2419-2469
• 关键词: consistent covariance-matrix; DEFAULT SWAP MARKET; ASSET PRICING TESTS; FINANCIAL RATIOS; CORPORATE-BONDS; term structure; Yield spreads; stock returns; bankruptcy; heteroskedasticity

摘要

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 puzzlethe lack of a positive relation between equity returns and default probabilitiesreported in previous studies.