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Is systematic default risk priced in equity returns? [[electronic resource] ] : a cross-sectional analysis using credit derivatives prices / / Jorge A. Chan-Lau
| Is systematic default risk priced in equity returns? [[electronic resource] ] : a cross-sectional analysis using credit derivatives prices / / Jorge A. Chan-Lau |
| Autore | Chan-Lau Jorge A |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, Monetary and Financial Systems Dept., c2006 |
| Descrizione fisica | 1 online resource (18 p.) |
| Collana | IMF working paper |
| Soggetto topico |
Corporations - Valuation - Econometric models
Credit derivatives - Prices - Econometric models Default (Finance) - Econometric models Risk - Econometric models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-7402-6
1-4527-5317-2 1-282-39213-1 9786613820563 1-4527-0254-3 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""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"" |
| Record Nr. | UNINA-9910464832603321 |
Chan-Lau Jorge A
|
||
| [Washington, D.C.], : International Monetary Fund, Monetary and Financial Systems Dept., c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices / / Jorge Chan-Lau
| Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices / / Jorge Chan-Lau |
| Autore | Chan-Lau Jorge |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (18 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
Corporations - Valuation - Econometric models
Credit derivatives - Prices - Econometric models Default (Finance) - Econometric models Risk - Econometric models Corporate Finance Exports and Imports Investments: Stocks Money and Monetary Policy International Lending and Debt Problems Monetary Policy, Central Banking, and the Supply of Money and Credit: General Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Corporate Finance and Governance: General International economics Monetary economics Investment & securities Ownership & organization of enterprises Debt default Stocks Credit default swap Credit Corporate sector Debts, External Business enterprises |
| ISBN |
1-4623-7402-6
1-4527-5317-2 1-282-39213-1 9786613820563 1-4527-0254-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""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"" |
| Record Nr. | UNINA-9910788521903321 |
|
Chan-Lau Jorge
|
||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices / / Jorge Chan-Lau
| Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices / / Jorge Chan-Lau |
| Autore | Chan-Lau Jorge |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (18 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
Corporations - Valuation - Econometric models
Credit derivatives - Prices - Econometric models Default (Finance) - Econometric models Risk - Econometric models Business enterprises Corporate Finance and Governance: General Corporate Finance Corporate sector Credit default swap Credit Debt default Debts, External Exports and Imports Financial Instruments Institutional Investors International economics International Lending and Debt Problems Investment & securities Investments: Stocks Monetary economics Monetary Policy, Central Banking, and the Supply of Money and Credit: General Money and Monetary Policy Non-bank Financial Institutions Ownership & organization of enterprises Pension Funds Stocks |
| ISBN |
9786613820563
9781462374021 1462374026 9781452753171 1452753172 9781282392137 1282392131 9781452702544 1452702543 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""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"" |
| Record Nr. | UNINA-9910970497703321 |
|
Chan-Lau Jorge
|
||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
