Default Risk in Equity Returns PDF book is popular book written by Olena Martynenko. The book was released by LAP Lambert Academic Publishing on 2011-10 with total hardcover pages 96. Fast download link is given in this page, you could read Default Risk in Equity Returns by Olena Martynenko in PDF, epub and kindle directly from your devices.
This study verifies quantitatively a systematic character of default risk and statistical quality of the competing three- and four-factor asset pricing models.
In this paper, we address the question whether the impact of default risk on equity returns depends on the financial system firms operate in. Using an implement
The relationship between default risk and equity returns is investigated in this study from an industrial and economic cycle decomposition point of view. The po
This is the first study that uses Merton's (1974) option pricing model to compute default measures for individual firms and assess the effect of default risk on
This paper finds that systematic default risk, or the event of widespread defaults in the corporate sector, is an important determinant of equity returns. Moreo