Anchoring Credit Default Swap Spreads to Firm Fundamentals
研究了公司基本面在多大程度上能解释信用违约互换利差的横截面差异，通过贝叶斯收缩方法构建基本面估值，发现其解释力高达77%，且偏差可预测未来市场走势。
In this article, we examine the extent to which firm fundamentals can explain the cross-sectional variation in credit default swap (CDS) spreads. We construct a fundamental CDS valuation by combining the Merton distance-to-default measure with a long list of firm fundamentals via a Bayesian shrinkage method. Regressing CDS quotes against the fundamental valuation cross-sectionally generates an average R 2 of 77%. The explanatory power is stable over time and robust in out-of-sample tests. Deviations between market quotes and the valuation predict future market movements. The results highlight the important role played by firm fundamentals in differentiating the credit spreads of different firms.