This paper employs a novel multi-country dataset of corporate defaults to develop a model of distress risk specific to emerging markets. The data suggest that global financial variables such as US interest rates and shifts in global liquidity and risk aversion have significant predictive power for forecasting corporate distress risk in emerging markets. We document a positive distress risk premium in emerging market equities and show that the impact of a global “risk-off” environment on default risk is greater for firms whose returns are more sensitive to a composite global factor.

中文翻译：

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寻找新兴市场的困境风险

本文采用了一个新颖的多国公司违约数据集，以开发针对新兴市场的困境风险模型。数据表明，全球金融变量（例如美国利率，全球流动性的变化和风险规避）对预测新兴市场的公司困境风险具有重要的预测能力。我们记录了新兴市场股票中的正遇险风险溢价，并表明，对于那些对复合全球因素更为敏感的公司而言，全球“避险”环境对违约风险的影响更大。