We construct a measure of systematic default defined as the probability that many firms default at the same time. We account for correlations in defaults between firms through exposures to common shocks. Systematic default spikes during recessions, is correlated with macroeconomic indicators, and predicts future realized defaults. More importantly, it predicts future equity and corporate bond index returns both in- and out-of-sample. Finally, we find that the cross-section of average stock returns is related to firm-level exposures to systematic default risk.

中文翻译：

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股票和债券市场的系统性违约和回报可预测性

我们构建了系统性违约的衡量标准，定义为许多公司同时违约的概率。我们通过共同冲击的风险来解释公司之间违约的相关性。经济衰退期间系统性违约激增，与宏观经济指标相关，并预测未来已实现的违约。更重要的是，它预测样本内和样本外的未来股票和公司债券指数回报。最后，我们发现平均股票回报率的横截面与公司层面的系统性违约风险敞口有关。