This paper investigates the relation between credit risk and stock return for publicly traded firms in the Pakistan Stock Exchange (PSX) over the period 2000–2017. Using credit ratings as a proxy for credit risk, we find that the credit risk–stock return relation is negative in Pakistan, as low‐rated stocks (i.e., those with high credit risk) earn lower returns than high‐rated stocks (i.e., those with low credit risk). This negative relation is robust to alternative measures of credit risk (e.g., Altman’s Z‐score and the distance‐to‐default) and is also maintained even after controlling for size, momentum, and liquidity effects. Our study provides evidence of the default‐risk anomaly in a frontier market that lacks adequate information infrastructure and faces high levels of political and economic uncertainty.

中文翻译：

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巴基斯坦股票市场的信用风险和异常

本文调查了巴基斯坦证券交易所（PSX）2000-2017年间信用风险与股票回酬之间的关系。使用信用评级代替信用风险，我们发现巴基斯坦的信用风险与股票收益率关系为负，因为低评级股票（即具有高信用风险的股票）的收益低于高评级股票（即信用风险较低的人）。这种负关系对于信用风险的替代度量（例如，Altman的Z得分和违约距离）具有鲁棒性，即使在控制了规模，动量和流动性影响之后，这种负关系也得以保持。我们的研究提供了一个前沿市场的违约风险异常的证据，该市场缺乏足够的信息基础架构，并且面临着高度的政治和经济不确定性。