Understanding the cross‐section of CDS returns using equity options
研究了基于股票期权隐含波动率曲线构建的CDS投资组合的收益特征，发现高隐含波动率和陡峭波动率偏斜的公司为CDS保护卖方带来更高平均收益，且CDS收益比债券收益更能被这些指标与标准信用因素共同解释。
Abstract We examine the cross‐section of credit default swap (CDS) returns by forming CDS portfolios based on the implied volatility curves of equity options. We document that CDS protection sellers earn higher average returns for: (1) firms with higher at‐the‐money implied volatility and (2) firms with steeper volatility skew when conditioning on high implied volatility. We find that, relative to bond returns, CDS returns are better explained by our proposed measures interacted with standard credit determinants. Our reasoning is that the large degree of informed trading in the CDS market makes it more in sync with the equity options market, which is also known to attract informed traders.