Verwandte Artikel zu Default Risk in Equity Returns: A Study on Augmentation...
Default Risk in Equity Returns: A Study on Augmentation of the Three-Factor Model of Fama and French with Default Risk Factor - Softcover
Inhaltsangabe
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.
Die Inhaltsangabe kann sich auf eine andere Ausgabe dieses Titels beziehen.
Über die Autorin bzw. den Autor
obtained a degree of Master of Politology in 2002 and a degree of Master of Science in Finance in 2010.
„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.
Neu kaufen
Diesen Artikel anzeigen
EUR 49,00
Gratis für den Versand innerhalb von/der Deutschland
Versandziele, Kosten & DauerSuchergebnisse für Default Risk in Equity Returns: A Study on Augmentation...
Beispielbild für diese ISBN
Default Risk in Equity Returns : A Study on Augmentation of the Three-Factor Model of Fama and French with Default Risk Factor
Verlag:
LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3846517755
ISBN 13: 9783846517758
Gebraucht
Softcover
Anbieter: Buchpark, Trebbin, Deutschland
Verkäuferbewertung 5 von 5 Sternen
Zustand: Sehr gut. Zustand: Sehr gut | Sprache: Englisch | Produktart: Bücher. Artikel-Nr. 11245032/2
Anzahl: 1 verfügbar
Foto des Verkäufers
Default Risk in Equity Returns
Verlag:
LAP LAMBERT Academic Publishing Okt 2011, 2011
ISBN 10: 3846517755
ISBN 13: 9783846517758
Neu
Taschenbuch
Anbieter: buchversandmimpf2000, Emtmannsberg, BAYE, Deutschland
Verkäuferbewertung 5 von 5 Sternen
Taschenbuch. Zustand: Neu. 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. Artikel-Nr. 9783846517758
Anzahl: 2 verfügbar