报告题目：Credit risk and equity returns in China

报告所属学科：应用经济学

报告人：林辉（南京大学）

报告时间：2023年9月12日 10:00-12:30

报告地点：经管学院702会议室

报告摘要：

We examine how credit risk affects equity returns in China, where the financial system is dominated by debt-financing. Based on EDF (expected default frequency) measured by the KMV model, we construct a credit risk factor UMT (untrustworthy minus trustworthy). The empirical results show that UMT significantly improves the pricing effectiveness of the Fama-French fivefactor model and that the modified model with the investment factor replaced by UMT is more applicable to the Chinese environment. Our results also show that stocks with higher credit risk have higher expected returns, and credit risk premiums are an essential part of equity returns in China.

报告人简介：

林辉，南京大学商学院教授，博士生导师，南京大学金融计量与风险管理研究中心主任，《中国证券期货》执行主编。在American Economic Journal: Economic Policy 、International Review of Economics & Finance(IREF)，Journal of Derivatives（JOD），以及《管理学科学报》、《金融研究》等国内外一流期刊上发表学术论文40多篇。