LEADER 01249nam 2200385 450 001 000001709 005 20070503173400.0 010 $a0-15-182629-3 100 $a--------d1982----km-y0itay0103----ba 101 0 $aeng 102 $aUS 200 1 $aVox pop$elast days of the roman republic$fJohn Arden 200 1 $a1 $n0004765 210 $aSan Diego ; New York ; London$cHarcourt Brace Jovanovich$dc1982 215 $a343 p.$cill.$d22 cm. 676 $a823.914 700 1$aArden,$bJohn$0131208 801 0$aIT$bUniversità della Basilicata - B.I.A.$gRICA$2unimarc 912 $a000001709 996 $aVox pop$972018 997 $aUNIBAS BAS $aMONLET BAS $aMONOGR BAS $aLETTERE CAT $aCARLUCCI$b01$c19990728$lBAS01$h1210 CAT $c20000920$lBAS01$h1829 CAT $c20001010$lBAS01$h1632 CAT $c20050601$lBAS01$h1752 CAT $abatch$b01$c20050718$lBAS01$h1047 CAT $c20050718$lBAS01$h1106 CAT $c20050718$lBAS01$h1136 CAT $c20050718$lBAS01$h1150 CAT $aBATCH$b00$c20070503$lBAS01$h1734 FMT Z30 -1$lBAS01$LBAS01$mBOOK$1BASA1$APolo Storico-Umanistico$2GEN$BCollezione generale$3FM/2248$9FM/2248$62248$5L2248$819990728$f02$FPrestabile Generale LEADER 05167oam 22012494 450 001 9910970497703321 005 20250426110936.0 010 $a9786613820563 010 $a9781462374021 010 $a1462374026 010 $a9781452753171 010 $a1452753172 010 $a9781282392137 010 $a1282392131 010 $a9781452702544 010 $a1452702543 035 $a(CKB)3360000000443096 035 $a(EBL)3014452 035 $a(SSID)ssj0000941852 035 $a(PQKBManifestationID)11498817 035 $a(PQKBTitleCode)TC0000941852 035 $a(PQKBWorkID)10964285 035 $a(PQKB)10273573 035 $a(OCoLC)694141115 035 $a(MiAaPQ)EBC3014452 035 $a(IMF)WPIEE2006148 035 $a(IMF)WPIEA2006148 035 $aWPIEA2006148 035 $a(EXLCZ)993360000000443096 100 $a20020129d2006 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aIs Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices /$fJorge Chan-Lau 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2006. 215 $a1 online resource (18 p.) 225 1 $aIMF Working Papers 300 $a"June 2006." 311 08$a9781451864083 311 08$a1451864086 320 $aIncludes bibliographical references. 327 $a""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"" 330 3 $aThis 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. 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A Cross-Sectional Analysis Using Credit Derivatives Prices$94372372 997 $aUNINA