The Cross‐Section of Credit Risk Premia and Equity Returns
基于Merton结构模型，研究发现公司股票收益随信用违约互换利差估计的信用风险溢价增加，揭示了信用风险溢价包含物理和风险中性违约概率未捕捉的信息，为“困境谜题”提供新解释。
ABSTRACT 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 puzzle”—the lack of a positive relation between equity returns and default probabilities—reported in previous studies.