题目: Aggregate Distress Risk is Priced with a Positive Premium
演讲者：Prof. Hui Guo，Associate Professor of Finance, University of Cincinnati
时间: 2010年11月26日（星期五）10:00—11:30AM
地点: 嘉庚二501
参加者: 对财务研究有兴趣的广大师生
主持人： 阮军老师
论文简介：
Using Campbell, Hilscher, and Szilagyi’s (2008) defaultprobability measure, we show in three ways that investors require a positive premium for bearing systematic distress risk. First, aggregate default probability correlates positively with future excess market returns when we control for other determinants of conditional equity premium. Second, portfolios whose returns have large loadings on lagged aggregate default probability earn higher expected returns than do portfolios with small loadings. Lastly, if a stock provides a poor hedge against distress risk (i.e., its return has a strong negative covariance with changes in aggregate default probability), it tends to have high future returns, ceteris paribus. We show that the puzzling negative default probability-return relation documented in earlier studies reflects the fact that the default probability is a poor measure of exposure to aggregate distress risk.
论文作者简介：
Prof. Hui Guo is Associate Professor of Finance from University of Cincinnati. He got his Ph.D. in Financial Economics, M.A. in Economics and B.S. in Economics from New York University, University of New Hampshire, and Wuhan University respectively.
下载：H Guo distress risk.pdf