Is Systematic Default Risk Priced in Equity Returns A ：系统性违约风险定价的资本回报率.pdfVIP

WP/06/148 Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices Jorge A. Chan-Lau © 2006 International Monetary Fund WP/06/148 IMF Working Paper Monetary and Financial Systems Department Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices Prepared by Jorge A. Chan-Lau Authorized for distribution by David D. Marston June 2006 Abstract This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate. This paper finds that systematic default risk, or the event of widespread defaults in the corporate sector, is an important determinant of equity returns. Moreover, the market price of systematic default risk is one order of magnitude higher than the market price of other risk factors. In contrast to studies by Fama and French (1993, 1996 ) and Vassalou and Xing (2004), this paper uses a market-based measure of systematic default risk. The measure is constructed using price information from credit derivatives prices, namely the spreads of standardized single-tranche collateralized debt obligations on credit derivatives indices. JEL Classification Numbers: G10, G12, G14 Keywords: Equity returns, default ri