Default Risk in Equity Returns

Olena Martynenko

ISBN 10: 3846517755 / ISBN 13: 9783846517758

Editore: LAP LAMBERT Academic Publishing Okt 2011, 2011

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Neuware -This study verifies quantitatively a systematic character of default risk and statistical quality of the competing three- and four-factor asset pricing models. The experimental design applied to this study is premised on the three-factor model of Fama and French enhanced by default risk factor. The study utilizes the factor mimicking portfolio technique for modeling the risks underlying size, value and default risk factors. Distance-to-default estimate, deduced from the option-based model, is adopted by this study as a proxy for default risk. The augmentation of the three-factor model with default risk factor improves the performance of a conventional asset pricing specification on average. The factor loadings of the portfolios of size, value and default risk factors exhibit properties of risk factor sensitivities for stocks. The size and value factors are found to be common in equity returns, but at the same time not being proxies for default related information.Books on Demand GmbH, Überseering 33, 22297 Hamburg 96 pp. Englisch.

Codice articolo 9783846517758

Dati bibliografici

• Titolo: Default Risk in Equity Returns
• Editore: LAP LAMBERT Academic Publishing Okt 2011
• Data di pubblicazione: 2011
• Lingua: Inglese
• ISBN 10: 3846517755
• ISBN 13: 9783846517758
• Rilegatura: Taschenbuch
• Condizione: Neu
• Dimensioni: 220 L x 150 A x 6 P (millimetri) 220 millimetri di larghezza per 150 millimetri di altezza per 6 millimetri di profondità
• Peso: 161 grammi

Descrizione articolo

Riassunto

This study verifies quantitatively a systematic character of default risk and statistical quality of the competing three- and four-factor asset pricing models. The experimental design applied to this study is premised on the three-factor model of Fama and French enhanced by default risk factor. The study utilizes the factor mimicking portfolio technique for modeling the risks underlying size, value and default risk factors. Distance-to-default estimate, deduced from the option-based model, is adopted by this study as a proxy for default risk. The augmentation of the three-factor model with default risk factor improves the performance of a conventional asset pricing specification on average. The factor loadings of the portfolios of size, value and default risk factors exhibit properties of risk factor sensitivities for stocks. The size and value factors are found to be common in equity returns, but at the same time not being proxies for default related information.

Informazioni sull?autore

obtained a degree of Master of Politology in 2002 and a degree of Master of Science in Finance in 2010.