Is Systematic Default Risk Priced in Equity Returns? : A Cross-Sectional Analysis Using Credit Derivatives Prices /
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...
| Auteur principal: | |
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| Format: | Revue |
| Langue: | English |
| Publié: |
Washington, D.C. :
International Monetary Fund,
2006.
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| Collection: | IMF Working Papers; Working Paper ;
No. 2006/148 |
| Accès en ligne: | Full text available on IMF |