05167oam 22012494 450 991097049770332120250426110936.0978661382056397814623740211462374026978145275317114527531729781282392137128239213197814527025441452702543(CKB)3360000000443096(EBL)3014452(SSID)ssj0000941852(PQKBManifestationID)11498817(PQKBTitleCode)TC0000941852(PQKBWorkID)10964285(PQKB)10273573(OCoLC)694141115(MiAaPQ)EBC3014452(IMF)WPIEE2006148(IMF)WPIEA2006148WPIEA2006148(EXLCZ)99336000000044309620020129d2006 uf 0engur|n|---|||||txtccrIs Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices /Jorge Chan-Lau1st ed.Washington, D.C. :International Monetary Fund,2006.1 online resource (18 p.)IMF Working Papers"June 2006."9781451864083 1451864086 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 modelsBusiness enterprisesimfCorporate Finance and Governance: GeneralimfCorporate FinanceimfCorporate sectorimfCredit default swapimfCreditimfDebt defaultimfDebts, ExternalimfExports and ImportsimfFinancial InstrumentsimfInstitutional InvestorsimfInternational economicsimfInternational Lending and Debt ProblemsimfInvestment & securitiesimfInvestments: StocksimfMonetary economicsimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfMoney and Monetary PolicyimfNon-bank Financial InstitutionsimfOwnership & organization of enterprisesimfPension FundsimfStocksimfUnited StatesimfCorporationsValuationEconometric models.Credit derivativesPricesEconometric models.Default (Finance)Econometric models.RiskEconometric models.Business enterprisesCorporate Finance and Governance: GeneralCorporate FinanceCorporate sectorCredit default swapCreditDebt defaultDebts, ExternalExports and ImportsFinancial InstrumentsInstitutional InvestorsInternational economicsInternational Lending and Debt ProblemsInvestment & securitiesInvestments: StocksMonetary economicsMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralMoney and Monetary PolicyNon-bank Financial InstitutionsOwnership & organization of enterprisesPension FundsStocksChan-Lau Jorge1815656International Monetary Fund.Monetary and Financial Systems Dept.DcWaIMFBOOK9910970497703321Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices4372372UNINA