Default Risk in Equity Returns: A Study on Augmentation of the Three-Factor Model of Fama and French with Default Risk Factor - Softcover

Martynenko, Olena; Holst, Aracelly

 
9783846517758: Default Risk in Equity Returns: A Study on Augmentation of the Three-Factor Model of Fama and French with Default Risk Factor
Softcover
ISBN 10: 3846517755 ISBN 13: 9783846517758
Verlag: LAP Lambert Academic Publishing, 2011

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.

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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.

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Verlag
LAP Lambert Academic Publishing
Erscheinungsdatum
2011
Sprache
Englisch
ISBN 10 
3846517755
ISBN 13 
9783846517758
Einband
Tapa blanda
Anzahl der Seiten
96
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