Default Risk in Equity Returns
Default Risk in Equity Returns
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DOI：
10.2139/ssrn.297319
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发表时间：
2004-04
期刊：
影响因子：
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通讯作者：
Maria Vassalou;Yuhang Xing
中科院分区：
文献类型：
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作者：
Maria Vassalou;Yuhang Xing
这是第一项使用默顿（1974）期权定价模型来计算单个公司的违约指标，并评估违约风险对股票收益影响的研究。规模效应是一种违约效应，账面市值比（BM）效应在很大程度上也是如此。两者都仅存在于违约风险较高的市场部分。违约风险是系统性风险。法玛 - 弗伦奇（FF）因子 SMB和HML包含一些与违约相关的信息，但这不是FF模型能够解释股票收益横截面的主要原因。美国金融协会2004年版权所有。
This is the first study that uses Merton's (1974) option pricing model to compute default measures for individual firms and assess the effect of default risk on equity returns. The size effect is a default effect, and this is also largely true for the book-to-market (BM) effect. Both exist only in segments of the market with high default risk. Default risk is systematic risk. The Fama-French (FF) factors SMB and HML contain some default-related information, but this is not the main reason that the FF model can explain the cross section of equity returns. Copyright 2004 by The American Finance Association.