LEADER 01356nas 2200517-a 450 001 996205846003316 005 20220720213020.0 011 $a1096-0023 035 $a(DE-599)ZDB1463198-2 035 $a(OCoLC)36935608 035 $a(CKB)954922650146 035 $a(CONSER)sn-97001911- 035 $a(EXLCZ)99954922650146 100 $a19970520a19899999 s-- a 101 0 $aeng 135 $aurcnu|||||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 00$aCytokine 210 $aLondon $cAcademic Press 215 $a1 online resource 300 $aRefereed/Peer-reviewed 311 $a1043-4666 531 $aCYTOKINE PLUS 531 0 $aCytokine 606 $aCytokines$vPeriodicals 606 $aBiological Factors 606 $aCytokines$vPériodiques 606 $aProduits biologiques 606 $aCytokines$2fast$3(OCoLC)fst00886268 608 $aPeriodical 608 $aperiodicals.$2aat 608 $aPeriodicals.$2fast 608 $aPeriodicals.$2lcgft 608 $aPériodiques.$2rvmgf 615 0$aCytokines 615 2$aBiological Factors 615 6$aCytokines 615 6$aProduits biologiques. 615 7$aCytokines. 676 $a616 906 $aJOURNAL 912 $a996205846003316 996 $aCytokine$91890859 997 $aUNISA LEADER 04948oam 22011534 450 001 9910788521903321 005 20230829002151.0 010 $a1-4623-7402-6 010 $a1-4527-5317-2 010 $a1-282-39213-1 010 $a9786613820563 010 $a1-4527-0254-3 035 $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(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 /$fJorge Chan-Lau 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2006. 215 $a1 online resource (18 p.) 225 1 $aIMF Working Papers 300 $a"June 2006." 311 $a1-4518-6408-6 320 $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 $aThis paper finds that systematic default risk, or the event of widespread defaults in the corporate sector, is an important determinant of equity returns. Moreover, the market price of systematic default risk is one order of magnitude higher than the market price of other risk factors. In contrast to studies by Fama and French (1993, 1996 ) and Vassalou and Xing (2004), this paper uses a market-based measure of systematic default risk. The measure is constructed using price information from credit derivatives prices, namely the spreads of standardized single-tranche collateralized debt obligations on credit derivatives indices. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2006/148 606 $aCorporations$xValuation$xEconometric models 606 $aCredit derivatives$xPrices$xEconometric models 606 $aDefault (Finance)$xEconometric models 606 $aRisk$xEconometric models 606 $aCorporate Finance$2imf 606 $aExports and Imports$2imf 606 $aInvestments: Stocks$2imf 606 $aMoney and Monetary Policy$2imf 606 $aInternational Lending and Debt Problems$2imf 606 $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf 606 $aPension Funds$2imf 606 $aNon-bank Financial Institutions$2imf 606 $aFinancial Instruments$2imf 606 $aInstitutional Investors$2imf 606 $aCorporate Finance and Governance: General$2imf 606 $aInternational economics$2imf 606 $aMonetary economics$2imf 606 $aInvestment & securities$2imf 606 $aOwnership & organization of enterprises$2imf 606 $aDebt default$2imf 606 $aStocks$2imf 606 $aCredit default swap$2imf 606 $aCredit$2imf 606 $aCorporate sector$2imf 606 $aDebts, External$2imf 606 $aBusiness enterprises$2imf 607 $aUnited States$2imf 615 0$aCorporations$xValuation$xEconometric models. 615 0$aCredit derivatives$xPrices$xEconometric models. 615 0$aDefault (Finance)$xEconometric models. 615 0$aRisk$xEconometric models. 615 7$aCorporate Finance 615 7$aExports and Imports 615 7$aInvestments: Stocks 615 7$aMoney and Monetary Policy 615 7$aInternational Lending and Debt Problems 615 7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General 615 7$aPension Funds 615 7$aNon-bank Financial Institutions 615 7$aFinancial Instruments 615 7$aInstitutional Investors 615 7$aCorporate Finance and Governance: General 615 7$aInternational economics 615 7$aMonetary economics 615 7$aInvestment & securities 615 7$aOwnership & organization of enterprises 615 7$aDebt default 615 7$aStocks 615 7$aCredit default swap 615 7$aCredit 615 7$aCorporate sector 615 7$aDebts, External 615 7$aBusiness enterprises 700 $aChan-Lau$b Jorge$01462089 712 02$aInternational Monetary Fund.$bMonetary and Financial Systems Dept. 801 0$bDcWaIMF 906 $aBOOK 912 $a9910788521903321 996 $aIs Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices$93670941 997 $aUNINA