The Debt-Equity Spread

• 成果类型: Article
• 署名作者: Chen, Hui; Chen, Zhiyao; Li, Jun
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; City University of Hong Kong; University of Texas System; University of Texas Dallas
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082; 1540-6261
• DOI: 10.1111/jofi.70060
• 发表日期: 2026-08
• 页码: 2005-2062
• 关键词: ASSET PRICE DYNAMICS; cross-section; credit spreads; capital structures; Yield spreads; RISK; illiquidity; volatility; FIRMS; equilibrium

摘要

We propose a measure of the valuation gap between debt and equity-debt-equity spread (DES)-based on the difference between actual and equity-implied credit spreads. DES predicts cross-sectional stock and bond returns in opposite directions. This predictability is unique compared to existing mispricing measures and cannot be explained by exposures to various risk factors. High-DES firms are more likely to issue equity and retire debt, and have more insider equity selling. These findings are consistent with DES capturing relative mispricing between debt and equity, and provide empirical support for the model of partially segmented markets in Greenwood, Hanson, and Liao (2018, Review of Financial Studies 31, 3307-3343).