Coverart for item
The Resource Is systematic default risk priced in equity returns? : a cross-sectional analysis using credit derivatives prices, Jorge A. Chan-Lau

Is systematic default risk priced in equity returns? : a cross-sectional analysis using credit derivatives prices, Jorge A. Chan-Lau

Label
Is systematic default risk priced in equity returns? : a cross-sectional analysis using credit derivatives prices
Title
Is systematic default risk priced in equity returns?
Title remainder
a cross-sectional analysis using credit derivatives prices
Statement of responsibility
Jorge A. Chan-Lau
Creator
Contributor
Author
Subject
Genre
Language
eng
Summary
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
Member of
Action
digitized
Cataloging source
E7B
http://bibfra.me/vocab/lite/collectionName
IMF eLibrary
http://library.link/vocab/creatorName
Chan-Lau, Jorge A
Government publication
international or intergovernmental publication
Illustrations
illustrations
Index
no index present
Language note
English
LC call number
HG6024.A3
LC item number
C43 2006 ONLINE
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
International Monetary Fund
Series statement
IMF Working Paper,
Series volume
WP/06/148
http://library.link/vocab/subjectName
  • Corporations
  • Credit derivatives
  • Default (Finance)
  • Risk
  • Défaillance (Finances)
  • Risque
  • Instruments dérivés de crédit
  • Entreprises
  • Corporations
  • Default (Finance)
  • Risk
Label
Is systematic default risk priced in equity returns? : a cross-sectional analysis using credit derivatives prices, Jorge A. Chan-Lau
Instantiates
Publication
Copyright
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
""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""
Control code
694141115
Dimensions
unknown
Extent
1 online resource (16 pages)
Form of item
online
Isbn
9786613820563
Issn
2227-8885
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781452702544.001
Other physical details
illustrations
Reproduction note
Electronic reproduction.
Specific material designation
remote
System control number
(OCoLC)694141115
System details
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Label
Is systematic default risk priced in equity returns? : a cross-sectional analysis using credit derivatives prices, Jorge A. Chan-Lau
Publication
Copyright
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
""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""
Control code
694141115
Dimensions
unknown
Extent
1 online resource (16 pages)
Form of item
online
Isbn
9786613820563
Issn
2227-8885
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781452702544.001
Other physical details
illustrations
Reproduction note
Electronic reproduction.
Specific material designation
remote
System control number
(OCoLC)694141115
System details
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.

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