Equity Misvaluation and Default Options
通过一个考虑违约期权价值的股权估值模型，发现美国股票中存在错误定价，买入低估股、卖空高估股的年化四因子alpha约为11%，且对违约期权价值高的股票（如困境股或高波动股）效果更强。
ABSTRACT We study whether default options are mispriced in equity values by employing a structural equity valuation model that explicitly takes into account the value of the option to default (or abandon the firm) and uses firm‐specific inputs. We implement our model on the entire cross section of stocks and identify both over‐ and underpriced equities. An investment strategy that buys undervalued stocks and shorts overvalued stocks generates an annual four‐factor alpha of about 11% for U.S. stocks. The model's performance is stronger for stocks with a higher value of the default option, such as distressed or highly volatile stocks.