摘要翻译：
本文研究了用衍生工具隐含风险premia来解释股票收益的可能性。衍生品市场的迅速发展使得信用风险和利率风险等各种风险的交易成为可能。本文使用信用违约互换和股票期权来确定风险premia，然后用这些风险premia形成投资组合，并对股票投资组合的收益进行回归。结果表明，信用风险和隐含波动率对股票收益具有较强的解释力。尤其是困境股票的收益高度依赖于信用风险波动。这一发现产生了实际影响，例如股票和信贷工具之间的交叉套期保值机会，并有可能根据信贷市场的变化预测股票收益。
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英文标题：
《The Impact of Credit Risk and Implied Volatility on Stock Returns》
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作者：
Florian Steiger
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
  This paper examines the possibility of using derivative-implied risk premia to explain stock returns. The rapid development of derivative markets has led to the possibility of trading various kinds of risks, such as credit and interest rate risk, separately from each other. This paper uses credit default swaps and equity options to determine risk premia which are then used to form portfolios that are regressed against the returns of stock portfolios. It turns out that both, credit risk and implied volatility, have high explanatory power in regard to stock returns. Especially the returns of distressed stocks are highly dependent on credit risk fluctuations. This finding leads to practical implications, such as cross-hedging opportunities between equity and credit instruments and potentially allows forecasting stock returns based on movements in the credit market.
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PDF链接：
https://arxiv.org/pdf/1005.5538