Credit default swap spreads and variance risk premia

0378-4266/$ see front matter 2013 Elsevier B.V. All rights reserved. http://dx.doi.org/10.1016/j.jbankfin.2013.02.021 q We would like to thank Turan Bali, Antje Berndt, Michael Brennan, Darrell Duffie, Robert Geske, Bing Han, Jean Helwege, Robert Jarrow, George Jiang, George Tauchen, Marliese Uhrig-Homburg, Jan Werner, Yelena Larkin, Liuren Wu, Yuhang Xing, and Hong Yan; seminar participants at Tsinghua University, the University of Texas at Dallas, the University of South Carolina, Baruch College, and Shanghai University of Finance and Economics; and conference participants at FDIC Derivatives and Risk Management, the Financial Intermediation Research Society, the China International Conference in Finance, the European Finance Association, the Financial Management Association, and the American Finance Association annual meetings for helpful discussions. We also thank Ellen Levy for editing assistance. The authors acknowledge funding support from the Global Association of Risk Professionals, the Centre for Hedge Fund Research at Imperial College London, the Specialized Research Fund for the Doctoral Program of Higher Education of China (Grant No. 20090002120025), and the National Natural Science Foundation of China (Grant No. 71272023). ⇑ Corresponding author. Tel.: +86 10 62797482. E-mail addresses: [email protected] (H. Wang), zhouh@pbcsf. tsinghua.edu.cn (H. Zhou), [email protected] (Y. Zhou). 1 Tel.: +86 10 62790655. 2 Tel.: +1 850 644 7865. Hao Wang a,⇑, Hao Zhou , Yi Zhou c,2