演講者: 林明宗 (University of Sussex, Senior Lecturer in Finance)

演講題目: Expected Credit Risk and Expected Equity Return

演講內容: We study the association between CDS-implied expected credit risk and option-implied expected equity return and we confirm that credit risk is positively priced in equity. We first model a positive credit risk premium in equity under the risk-neutral probability measure and then provide empirical evidence. Different from prior studies, credit risk and equity estimates are forward-looking and do not rely on historical information. We also offer an explanation of the credit risk puzzle. We argue that the negative risk premium is the result of unexpected shocks of credit risk to equity return.

演講時間及地點: 2024/12/18(星期三) 15:30~17:00 商學院1F09