Review of Finance, Volume 22, Issue 2, March 2018

是否存在破产风险异象?在截面股票收益中的系统违约风险定价

作者：Deniz Anginer (Development Research Group, World Bank, USA),

?elim Y?ld?zhan (University of Georgia, USA)

摘要：衡量破产风险的标准方法忽略了一个事实，即企业违约是相关的并且一些违约更有可能发生在糟糕的时期。我们使用从企业信贷息差计算的风险溢价来衡量一家公司在违约风险方面的系统性偏差。与先前使用的测量不同，信用风险溢价明确地解释了破产风险不可分割的组成部分。与先前的文献研究结果相反，我们发现系统性违约风险较高的股票有更高的预期股本回报率，并且这些股本回报率在恒大程度上可以被Fama-French风险因子所解释。通过分析有未清偿债的公司，我们用另一个系统违约风险因素证实了我们结果的稳健性。

Is There a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross-section of Equity Returns

Deniz Anginer (Development Research Group, World Bank, USA), ?elim Y?ld?zhan (University of Georgia, USA)

ABSTRACT

The standard measures of distress risk ignore the fact that firm defaults are correlated and that some defaults are more likely to occur in bad times. We use risk premium computed from corporate credit spreads to measure a firm’s exposure to systematic variation in default risk. Unlike previously used measures, the credit risk premium explicitly accounts for the non-diversifiable component of distress risk. In contrast to prior findings in the literature, we find that stocks with higher systematic default risk exposures have higher expected equity returns which are largely explained by the Fama–French risk factors. We confirm the robustness of these results by using an alternative systematic default risk factor for firms that do not have bonds outstanding.

原文链接：https://academic.oup.com/rof/article-abstract/22/2/633/4320213?redirectedFrom=fulltext

翻译：阙江静