The aggregate default probability is significantly priced in equities because of its close relation with uncertainty. Ceteris paribus, the aggregate default probability positively predicts stock market returns, and loadings on its changes correlate negatively with the cross-section of expected stock returns. These findings are consistent with multifactor models in which aggregate uncertainty is a determinant of the conditional equity premium and innovations in aggregate uncertainty are a systematic risk factor. By contrast, credit spreads have negligible explanatory power for expected stock returns. Contrary to the conventional wisdom, credit spreads are poor proxies for aggregate credit risk.