Journal of Financial Markets·Volume 35·September 2017

权益与债券回报的关系：一个实证研究

作者：Amer Demirovic（Sarajevo School of Science and Technology）Department of Finance

Cherif Guermat（Centre for Global Finance, Faculty of Business & Law, University of the West of England）

Jon Tucker（Centre for Global Finance, Faculty of Business & Law, University of the West of England）

摘要：股权和公司债务之间的相关性是不明确的。影响企业资产价值的新闻导致了正向的相关性，而企业资产波动性的增加则导致了负相关关系。我们研究这二者之间的条件相关性。虽然平均相关性为正，但条件相关性随着信用风险的增加而增加，随着股权波动而下降。我们的结果与股权债券关系取决于股票和债务人之间的潜在财富转移的论点一致。然而，这种关系似乎在市场极度不确定性的时期崩溃了。

关键词：权益债券关系，违约距离，股权波动

The relationship between equity and bond returns: An empirical investigation

Amer Demirovic（Sarajevo School of Science and Technology）Department of Finance, Cherif Guermat（Centre for Global Finance, Faculty of Business & Law, University of the West of England）, Jon Tucker（Centre for Global Finance, Faculty of Business & Law, University of the West of England）

ABSTRACT

The correlation between equity and corporate debt is ambiguous. News affecting the value of a firm's assets induces a positive correlation, whereas an increase in the volatility of a firm's assets induces a negative correlation. We examine the conditional correlation between these two securities. While the average correlation is positive, the conditional correlation increases with credit risk, and decreases with equity volatility. Our results are consistent with the thesis that the equity bond relation is dependent on the potential wealth transfer between stock and debt holders. Nevertheless, this relation seems to break down during periods of extreme market uncertainty.

Keywords：Equity-bond correlation, Distance to default, Equity volatility

原文链接：http://www.sciencedirect.com/science/article/pii/S1386418115301233

翻译：何杉