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许多学者研究了股票市场与债券市场,CDS的横截面和时间序列。在前人研究的基础上本文主要分析CDS合约预期超额收益与随后实现的股本超额收益之间的关系,以探索股票市场信用风险的定价。
Many scholars have studied the stock market and bond markets, CDS cross-section and time series. On the basis of previous studies, this paper mainly analyzes the relationship between expected excess returns of CDS contracts and the excess returns of equity capital subsequently realized to explore the pricing of credit risk in the stock market.