Is systematic default risk priced in equity returns? : a cross-sectional analysis using credit derivatives prices /

This paper finds that systematic default risk, or the event of widespread defaults in the corporate sector, is an important determinant of equity returns. Moreover, the market price of systematic default risk is one order of magnitude higher than the market price of other risk factors. In contrast t...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Chan-Lau, Jorge A. (Autor)
Autor Corporativo: International Monetary Fund. Monetary and Financial Systems Department
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [Washington, D.C.] : International Monetary Fund, Monetary and Financial Systems Dept., ©2006.
Colección:IMF working paper ; WP/06/148.
Temas:
Corporations > Valuation > Econometric models.
Credit derivatives > Prices > Econometric models.
Default (Finance) > Econometric models.
Risk > Econometric models.
Business enterprises > Valuation > Econometric models.
Défaillance (Finances) > Modèles économétriques.
Risque > Modèles économétriques.
Instruments dérivés de crédit > Prix > Modèles économétriques.
Entreprises > Évaluation > Modèles économétriques.
Sociétés > Évaluation > Modèles économétriques.
Corporations > Valuation > Econometric models
Default (Finance) > Econometric models
Risk > Econometric models
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