Default Risk in Equity Returns
首次用Merton期权定价模型计算公司违约指标，发现规模效应和账面市值比效应本质是违约效应，且违约风险是系统性风险。
ABSTRACT This is the first study that uses Merton's (1974) option pricing model to compute default measures for individual firms and assess the effect of default risk on equity returns. The size effect is a default effect, and this is also largely true for the book‐to‐market (BM) effect. Both exist only in segments of the market with high default risk. Default risk is systematic risk. The Fama–French (FF) factors SMB and HML contain some default‐related information, but this is not the main reason that the FF model can explain the cross section of equity returns.