Asset Pricing with a Bank Risk Factor
研究银行部门状况如何影响非金融企业的股票收益，发现银行风险因子在美国非金融企业截面中具有定价能力，高银行风险暴露的股票预期超额收益比低暴露股票平均高2.83%。
Abstract This paper studies how the state of the banking sector influences stock returns of nonfinancial firms. We consider a two‐factor pricing model, where the first factor is the traditional market excess return and the second factor is the change in the average distance to default of commercial banks. We find that this bank factor is priced in the cross section of U.S. nonfinancial firms. Controlling for market beta, the expected excess return for a stock in the top quintile of bank risk exposure is on average 2.83% higher than for a stock in the bottom quintile.