【摘要】 本文基于个股回报对市场信用风险波动的敏感度构建信用贝塔指标，探讨其对债券违约风险的评估能力。研究发现，信用贝塔与债券违约风险负相关，能有效解释及预测信用利差。信用贝塔包含公司财务状况及违约距离等信息，这是其评估能力的重要来源。异质性分析显示，对于非国企、低评级、短期限等风险更大的债券，以及在宏观不确定性较小和投资者情绪低落时，信用贝塔的评估能力更强。本文为信用风险评估提供新的视角，具有一定实践价值。更多还原

【Abstract】 This paper builds credit beta based on the sensitivity of single stock returns to market credit risk fluctuations, and then discusses its ability to assess bond default risk. It is found that credit beta is negatively correlated with bond default risk. The beta index can effectively explain and predict credit spread. Furthermore, it contains information about the firm′s financial condition and distance to default, which is a significant reason why it can assess default risk. Heterogeneity analysis shows that the assessment capacity of credit beta is greater among bonds with higher default risk, such as those with non-SOE issuer, low credit rate or short maturity. Besides, when macro uncertainty is small or investor sentiment is low, credit beta shows stronger assessment power. Above all, this paper provides a new perspective for credit risk assessment and has much practical value for investors and regulators.更多还原