02405nam 2200625Ia 450 991046483260332120170814182407.01-4623-7402-61-4527-5317-21-282-39213-197866138205631-4527-0254-3(CKB)3360000000443096(EBL)3014452(SSID)ssj0000941852(PQKBManifestationID)11498817(PQKBTitleCode)TC0000941852(PQKBWorkID)10964285(PQKB)10273573(OCoLC)694141115(MiAaPQ)EBC3014452(EXLCZ)99336000000044309620061106d2006 uf 0engur|n|---|||||txtccrIs systematic default risk priced in equity returns?[electronic resource] a cross-sectional analysis using credit derivatives prices /Jorge A. Chan-Lau[Washington, D.C.] International Monetary Fund, Monetary and Financial Systems Dept.c20061 online resource (18 p.)IMF working paper ;WP/06/148"June 2006."1-4518-6408-6 Includes bibliographical references.""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""IMF working paper ;WP/06/148.CorporationsValuationEconometric modelsCredit derivativesPricesEconometric modelsDefault (Finance)Econometric modelsRiskEconometric modelsElectronic books.CorporationsValuationEconometric models.Credit derivativesPricesEconometric models.Default (Finance)Econometric models.RiskEconometric models.Chan-Lau Jorge A857600International Monetary Fund.Monetary and Financial Systems Dept.MiAaPQMiAaPQMiAaPQBOOK9910464832603321Is systematic default risk priced in equity returns2116550UNINA