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|a Chan-Lau, Jorge.
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|a Is Systematic Default Risk Priced in Equity Returns? :
|b A Cross-Sectional Analysis Using Credit Derivatives Prices /
|c Jorge Chan-Lau.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2006.
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|a 1 online resource (18 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a 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.
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|a Mode of access: Internet
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|a IMF Working Papers; Working Paper ;
|v No. 2006/148
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2006/148/001.2006.issue-148-en.xml
|z IMF e-Library
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