THE JOURNAL OF FINANCE· VOL. LXIX, NO. 6· DECEMBER 2014

橫截面信用風險溢價與股票回報

作者：Nils Friewald (Norwegian School of Economics), Christian Wagner (Copenhagen Business School-Department of Finance), Josef Zechner (Vienna University of Economics and Business)

摘要：Merton在1974年提出的結構式模型有一個直觀結論：在各類資産上，每信用單位風險必須得到相同的回報，所以股權和信用工具的風險溢價應該是相關的。本文基于這個直觀結論研究了公司的股票回報和信用風險之間的關系。使用信用違約互換價差估計出的風險溢價，本文發現了公司的股票回報随着風險溢價的增加而增加，這與理論是一緻的，因此信用風險溢價包含着沒有被實際或風險中性違約概率所解釋的信息。這個發現為“财務困境之謎”（股票收益與破産風險之間缺乏應有的正向關系）提供了新的解釋。

關鍵詞：财務困境之謎，信用風險，股票收益

The Cross-Section of Credit Risk Premia and Equity Returns

Nils Friewald (Norwegian School of Economics), Christian Wagner (Copenhagen Business School-Department of Finance), Josef Zechner (Vienna University of Economics and Business)

ABSTRACT

We explore the link between a firm's stock returns and credit risk using a simple insight from structural models following Merton (1974): risk premia on equity and credit instruments are related because all claims on assets must earn the same compensation per unit of risk. Consistent with theory, we find that firms' stock returns increase with credit risk premia estimated from CDS spreads. Credit risk premia contain information not captured by physical or risk-neutral default probabilities alone. This sheds new light on the “distress puzzle”—the lack of a positive relation between equity returns and default probabilities—reported in previous studies.

Keywords: Distress Puzzle, Credit Risk, Stock Returns

原文鍊接：http://onlinelibrary.wiley.com/doi/10.1111/jofi.12143/full

翻譯：殷曼琳