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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...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund, Monetary and Financial Systems Dept.,
©2006.
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| Colección: | IMF working paper ;
WP/06/148. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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 to studies by Fama and French (1993, 1996) and Vassalou and Xing (2004), this paper uses a market-based measure of systematic default risk. The measure is constructed using price information from credit derivatives prices, namely the spreads of standardized single-tranche collateralized debt obligations on credit derivatives indices. |
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| Descripción Física: | 1 online resource (16 pages) : illustrations |
| Bibliografía: | Includes bibliographical references. |
| ISBN: | 1282392131 9781282392137 9781452702544 1452702543 1462374026 9781462374021 1452753172 9781452753171 9786613820563 6613820563 9781451864083 1451864086 |
| ISSN: | 2227-8885 ; |