Default Risk in Equity Returns

Language: English

Published by LAP LAMBERT Academic Publishing Okt 2011, 2011

3846517755 / 9783846517758

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This item is printed on demand - it takes 3-4 days longer - Neuware -This study verifies quantitatively a systematic character of default risk and statistical quality of the competing three- and four-factor asset pricing models. The experimental design applied to this study is premised on the three-factor model of Fama and French enhanced by default risk factor. The study utilizes the factor mimicking portfolio technique for modeling the risks underlying size, value and default risk factors. Distance-to-default estimate, deduced from the option-based model, is adopted by this study as a proxy for default risk. The augmentation of the three-factor model with default risk factor improves the performance of a conventional asset pricing specification on average. The factor loadings of the portfolios of size, value and default risk factors exhibit properties of risk factor sensitivities for stocks. The size and value factors are found to be common in equity returns, but at the same time not being proxies for default related information. 96 pp. Englisch.…

Seller Inventory # 9783846517758

Title
Default Risk in Equity Returns
Author
Olena Martynenko
Publisher
LAP LAMBERT Academic Publishing Okt 2011
Publication year
2011
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3846517755
ISBN 13
9783846517758
Item weight
161 grams
Dimensions
220x150x6 mm

BuchWeltWeit Ludwig Meier e.K.

Bergisch Gladbach, Germany

5-star seller

AbeBooks seller since January 11, 2012

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