Systematic default and return predictability in the stock and bond markets
构建了衡量多家企业同时违约概率的系统性违约指标，发现该指标在经济衰退时飙升、能预测未来实际违约，更重要的是能样本内外预测股票和公司债券指数回报，且个股平均回报与系统性违约风险暴露相关。
We construct a measure of systematic default defined as the probability that many firms default at the same time. We account for correlations in defaults between firms through exposures to common shocks. Systematic default spikes during recessions, is correlated with macroeconomic indicators, and predicts future realized defaults. More importantly, it predicts future equity and corporate bond index returns both in- and out-of-sample. Finally, we find that the cross-section of average stock returns is related to firm-level exposures to systematic default risk.