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中文摘要：
风险与收益是金融的核心概念，理论预测二者是正相关关系，但一些检验表明，两者负相关。本文进一步对我国A股非金融类上市公司的预期收益与违约风险的关系进行考察：研究基于隐含资本成本方法和Naive模型。论文首先介绍隐含资本成本的估计方法和违约风险的KMV模型的一个新拓展——Naive模型，其次是运用这些方法估计，最后采用Fama—MachBeth回归检验两者关系，结果发现A股市场股票预期收益与违约风险之间负相关，并且这种负相关受到金融危机的影响进一步加大。
英文摘要：
The tradeoff between the risk and return is a central concept in finance. The finance theory generally predicts a positive risk-retum relation, but empirically it shows negative relation. This paper studies the tradeoff between the default risk and expected retum of China＇s A-share non-financial listed companies, using the implied cost of capital as a measure of ex-ante expected returns. It introduces the methods Naive model, GLS, then studies the tradeoff with Fama-MachBeth regression, and finds a positive risk-retum relation which is economically and statistically significant and also deepens after the 2008 financial crisis.
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