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Record Nr. |
UNINA9910788521903321 |
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Autore |
Chan-Lau Jorge |
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Titolo |
Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices / / Jorge Chan-Lau |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2006 |
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ISBN |
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1-4623-7402-6 |
1-4527-5317-2 |
1-282-39213-1 |
9786613820563 |
1-4527-0254-3 |
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Descrizione fisica |
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1 online resource (18 p.) |
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Collana |
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Soggetti |
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Corporations - Valuation - Econometric models |
Credit derivatives - Prices - Econometric models |
Default (Finance) - Econometric models |
Risk - Econometric models |
Corporate Finance |
Exports and Imports |
Investments: Stocks |
Money and Monetary Policy |
International Lending and Debt Problems |
Monetary Policy, Central Banking, and the Supply of Money and Credit: General |
Pension Funds |
Non-bank Financial Institutions |
Financial Instruments |
Institutional Investors |
Corporate Finance and Governance: General |
International economics |
Monetary economics |
Investment & securities |
Ownership & organization of enterprises |
Debt default |
Stocks |
Credit default swap |
Credit |
Corporate sector |
Debts, External |
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Business enterprises |
United States |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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""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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Sommario/riassunto |
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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. |
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