Default Risk in Equity Returns  

Oleh:

Yuhang, Xing ; Vassalou, Maria

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 59 no. 2 (Apr. 2004), page 831-868.
Topik: equity; default; return on equity; risk assessment; studies; correlation analysis
Fulltext: p 831.pdf (214.79KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This is the first study that uses merton's (1974) option pricing model to compute defaukt measures for individual firms and assess the effect of default risk on equity returns. The size effect is a default effect and this is also largely true for the book - to - market (BM) effect. Both exist only in segments of the market with high default risk. Default risk is systematic risk. The fama - frence (FF) factors SMB and HML contain some default - related information, but this is not the main reason that the FF model can explain the cross section of equity returns.

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