程式化事实
杠杆(统计)
衡平法
经济
违约概率
金融经济学
波动性(金融)
信用风险
违约
违约损失
业务
计量经济学
精算学
资本要求
财务
微观经济学
机器学习
计算机科学
政治学
法学
宏观经济学
激励
作者
Aurelio Vasquez,Xiao Xiao
出处
期刊:Management Science
[Institute for Operations Research and the Management Sciences]
日期:2023-07-19
被引量:17
标识
DOI:10.1287/mnsc.2023.4796
摘要
This paper studies the effects of default risk on expected equity option returns. In the cross-section, expected delta-hedged equity option returns have a negative relation with default risk measured by credit ratings or default probability. In the time series, credit rating downgrades (upgrades) lead to a decrease (increase) in the firm’s delta-hedged option return. Our results are consistent with a stylized capital structure model in which the negative relation between option returns and default risk is driven by firm leverage and asset volatility. This paper was accepted by Lukas Schmid, finance. Funding: A. Vasquez thanks the Asociación Mexicana de Cultura A.C. for financial support. Supplemental Material: The online appendix and data are available at https://doi.org/10.1287/mnsc.2023.4796 .
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