The Term Structure of Credit Spreads and the Cross-Section of Stock Returns
We explore the link between credit and equity markets by considering the informational content of the term structure of credit spreads. A shallower credit term structure predicts decreases in default risk, increases in future profitability, as well as favorable earnings surprises. Further, the slope of the credit term structure negatively predicts future stock returns. While systematic slope risk is also priced, information diffusion from the credit market to equities, particularly in less visible stocks, plays an additional role in accounting for return predictability from credit slopes: Such predictability is less evident in stocks with high institutional ownership, analyst coverage, and liquidity, and vice versa
Year of publication: |
2016
|
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Authors: | Han, Bing |
Other Persons: | Subrahmanyam, Avanidhar (contributor) ; Zhou, Yi (contributor) |
Publisher: |
[2016]: [S.l.] : SSRN |
Subject: | Zinsstruktur | Yield curve | Kapitaleinkommen | Capital income | Kreditrisiko | Credit risk | CAPM | Theorie | Theory | Risikoprämie | Risk premium |
Saved in:
freely available
Extent: | 1 Online-Ressource (49 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Journal of Financial Economics (JFE), Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 22, 2015 erstellt |
Other identifiers: | 10.2139/ssrn.2560693 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013005318
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