Systematic default and return predictability in the stock and bond markets

被引:4
|
作者
Bao, Jack [1 ]
Hou, Kewei [2 ,3 ]
Zhang, Shaojun [2 ]
机构
[1] Univ Delaware, Lerner Coll Business & Econ, 42 Amstel Ave, Newark, DE 19716 USA
[2] Ohio State Univ, Fisher Coll Business, 2100 Neil Ave, Columbus, OH 43210 USA
[3] China Acad Financial Res, Shanghai 200030, Peoples R China
关键词
Systematic risk; Structural model; Joint default; Predictability; Stock returns; Bond returns; BOOK-TO-MARKET; CREDIT SPREADS; PREDICTING RETURNS; STRUCTURAL MODELS; DIVIDEND YIELDS; RISK; ILLIQUIDITY; SENTIMENT; PREMIUM; RATIOS;
D O I
10.1016/j.jfineco.2023.05.006
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We construct a measure of systematic default defined as the probability that many firms default at the same time. We account for correlations in defaults between firms through exposures to common shocks. Systematic default spikes during recessions, is correlated with macroeconomic indicators, and predicts future realized defaults. More importantly, it predicts future equity and corporate bond index returns both in-and out-of-sample. Finally, we find that the cross-section of average stock returns is related to firm-level ex-posures to systematic default risk. & COPY; 2023 Elsevier B.V. All rights reserved.
引用
收藏
页码:349 / 377
页数:29
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