The impact of diverse measures of default risk on UK stock returns

被引：12

作者：

Chen, Jie ^{[1
]}

Hill, Paula ^{[1
]}

机构：

[1] Univ Bristol, Bristol BS8 1TN, Avon, England

来源：

JOURNAL OF BANKING & FINANCE | 2013年 / 37卷 / 12期

关键词：

Default risk; Credit rating; Probability of default; Stock returns; CREDIT QUALITY; CORPORATE-DEBT; PREDICTION; REGRESSION; BANKRUPTCY; DISTRESS; RATINGS; MODELS; MARKET;

D O I：

10.1016/j.jbankfin.2013.06.013

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

A number of recent papers examine the relationship between default risk and equity returns, and the results are mixed. These studies employ different measures of default risk and we find that correlations between eight diverse measures of default risk tend to be less than 50%. Nonetheless, we find that the relationship between stock returns and diverse measures of default risk tends to be consistent; default risk is a significant determinant of stock returns and this relationship is "hump backed", as predicted by Garlappi and Yan (2011). (C) 2013 Elsevier B.V. All rights reserved,

引用

页码：5118 / 5131

页数：14

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