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

横截面信用风险溢价与股票回报

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年提出的结构式模型有一个直观结论：在各类资产上，每信用单位风险必须得到相同的回报，所以股权和信用工具的风险溢价应该是相关的。本文基于这个直观结论研究了公司的股票回报和信用风险之间的关系。使用信用违约互换价差估计出的风险溢价，本文发现了公司的股票回报随着风险溢价的增加而增加，这与理论是一致的，因此信用风险溢价包含着没有被实际或风险中性违约概率所解释的信息。这个发现为“财务困境之谜”（股票收益与破产风险之间缺乏应有的正向关系）提供了新的解释。

关键词：财务困境之谜，信用风险，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

原文链接：http://onlinelibrary.wiley.com/doi/10.1111/jofi.12143/full

翻译：殷曼琳