Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices.

Intro -- Contents -- I. INTRODUCTION -- II. EQUITY RETURNS AND SYSTEMATIC DEFAULT RISK -- III. EXTRACTING SYSTEMATIC DEFAULT RISK MEASURES FROM CREDIT DERIVATIVES PRICES -- IV. IS SYSTEMATIC DEFAULT RISK PRICED IN EQUITY RETURNS? -- V. CONCLUSIONS -- REFERENCES.

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Year of publication:	2006
Authors:	Chan-Lau, Jorge A
Publisher:	Washington : International Monetary Fund
Subject:	Derivat \| Derivative \| Kapitalmarkttheorie \| Financial economics

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Extent:	1 online resource (18 pages)
Series:	IMF Working Papers IMF working paper ; WP/06/148
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based on publisher supplied metadata and other sources. ""Contents""; ""I. INTRODUCTION""; ""II. EQUITY RETURNS AND SYSTEMATIC DEFAULT RISK""; ""III. EXTRACTING SYSTEMATIC DEFAULT RISK MEASURES FROM CREDIT DERIVATIVES PRICES""; ""IV. IS SYSTEMATIC DEFAULT RISK PRICED IN EQUITY RETURNS?""; ""V. CONCLUSIONS""; ""REFERENCES""
ISBN:	978-1-4527-0254-4 ; 978-1-4518-6408-3
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012691070