04948oam 22011534 450 991078852190332120230829002151.01-4623-7402-61-4527-5317-21-282-39213-197866138205631-4527-0254-3(CKB)3360000000443096(EBL)3014452(SSID)ssj0000941852(PQKBManifestationID)11498817(PQKBTitleCode)TC0000941852(PQKBWorkID)10964285(PQKB)10273573(OCoLC)694141115(MiAaPQ)EBC3014452(IMF)WPIEE2006148(EXLCZ)99336000000044309620020129d2006 uf 0engur|n|---|||||txtccrIs Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices /Jorge Chan-LauWashington, D.C. :International Monetary Fund,2006.1 online resource (18 p.)IMF Working Papers"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""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.IMF Working Papers; Working Paper ;No. 2006/148CorporationsValuationEconometric modelsCredit derivativesPricesEconometric modelsDefault (Finance)Econometric modelsRiskEconometric modelsCorporate FinanceimfExports and ImportsimfInvestments: StocksimfMoney and Monetary PolicyimfInternational Lending and Debt ProblemsimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfPension FundsimfNon-bank Financial InstitutionsimfFinancial InstrumentsimfInstitutional InvestorsimfCorporate Finance and Governance: GeneralimfInternational economicsimfMonetary economicsimfInvestment & securitiesimfOwnership & organization of enterprisesimfDebt defaultimfStocksimfCredit default swapimfCreditimfCorporate sectorimfDebts, ExternalimfBusiness enterprisesimfUnited StatesimfCorporationsValuationEconometric models.Credit derivativesPricesEconometric models.Default (Finance)Econometric models.RiskEconometric models.Corporate FinanceExports and ImportsInvestments: StocksMoney and Monetary PolicyInternational Lending and Debt ProblemsMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralPension FundsNon-bank Financial InstitutionsFinancial InstrumentsInstitutional InvestorsCorporate Finance and Governance: GeneralInternational economicsMonetary economicsInvestment & securitiesOwnership & organization of enterprisesDebt defaultStocksCredit default swapCreditCorporate sectorDebts, ExternalBusiness enterprisesChan-Lau Jorge1462089International Monetary Fund.Monetary and Financial Systems Dept.DcWaIMFBOOK9910788521903321Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices3670941UNINA01581nam0 22003251i 450 UON0046758620231205105150.50888-17-16722-X20160519d1991 |0itac50 baitaGRCIT|||| |||||Vite parallelePericle Fabio MassimoPlutarcointroduzione di Philip A. Stadtertraduzione e notea Pericle] di Anna Santoni ; introduzione di Roberto Guerrini ; traduzione e notea Fabio Massimo] di Anna Santoni con il saggio "Plutarco biografo" di Ulrich von Wilamowitz-Moellendorff e contributi di Barbara Scardigli e Mario ManfrediniMilano : Biblioteca Universale Rizzoli1991412 p.18 cmTesto greco a fronteDono Rettrice Prof.ssa MorlicchioIT-UONSI T 1PLUT0914001UON000881622001 ˆI ‰classici della BURL772UON00469029Bioi Paralleloi Perikles Kai Phabios MaximosITMilanoUONL000005PlutarchusUONV055929439241SANTONIAnnaUONV058986Biblioteca Universale RizzoliUONV247094650PLUTARCOPlutarchusUONV055931ITSOL20251031RICASIBA - SISTEMA BIBLIOTECARIO DI ATENEOUONSIUON00467586SIBA - SISTEMA BIBLIOTECARIO DI ATENEOSI T 1 PLUT 0914 SI 17866 7 Dono Rettrice Prof.ssa MorlicchioVitae parallelae3008435UNIOR