Hidden Bibliographic Details
| Other authors / contributors: | International Monetary Fund. Monetary and Financial Systems Department.
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| ISBN: | 1282392131
9781282392137
9781452702544
1452702543
1462374026
9781462374021
1452753172
9781452753171
9786613820563
6613820563
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| ISSN: | 2227-8885
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| Digital file characteristics: | text file
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| Notes: | Includes bibliographical references.
Restrictions unspecified
Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
English.
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
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| Summary: | 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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| Other form: | Print version: Chan-Lau, Jorge A. Is systematic default risk priced in equity returns?. Washington, D.C. : International Monetary Fund, Monetary and Financial Systems Dept., ©2006
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| Standard no.: | 10.5089/9781452702544.001
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