Is systematic default risk priced in equity returns? : a cross-sectional analysis using credit derivatives prices

Is systematic default risk priced in equity returns? : a cross-sectional analysis using credit derivatives prices / Jorge A. Chan-Lau.

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 t...

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Bibliographic Details
Main Author: Chan-Lau, Jorge A. (Author)
Corporate Author: International Monetary Fund. Monetary and Financial Systems Department
Format: eBook
Language:English
Published: [Washington, D.C.] : International Monetary Fund, Monetary and Financial Systems Dept., ©2006.
Series:IMF working paper ; WP/06/148.
Subjects:
Corporations > Valuation > Econometric models.
Credit derivatives > Prices > Econometric models.
Default (Finance) > Econometric models.
Risk > Econometric models.
Business enterprises > Valuation > Econometric models.
Corporations > Valuation > Econometric models
Default (Finance) > Econometric models
Risk > Econometric models
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