Default Risk in Equity Returns
Preprint
- 1 January 2002
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
This is the first study that uses Merton's (1974) option pricing model to compute default measures for individual firms and assess the effect of default risk onKeywords
This publication has 18 references indexed in Scilit:
- Book‐to‐Market Equity, Distress Risk, and Stock ReturnsThe Journal of Finance, 2002
- Explaining the Rate Spread on Corporate BondsThe Journal of Finance, 2001
- The Long‐Run Stock Returns Following Bond Ratings ChangesThe Journal of Finance, 2001
- Modeling Term Structures of Defaultable BondsThe Review of Financial Studies, 1999
- Estimating the Price of Default RiskThe Review of Financial Studies, 1999
- An Econometric Model of the Term Structure of Interest‐Rate Swap YieldsThe Journal of Finance, 1997
- Multifactor Explanations of Asset Pricing AnomaliesThe Journal of Finance, 1996
- Common risk factors in the returns on stocks and bondsJournal of Financial Economics, 1993
- The Cross-Section of Expected Stock ReturnsThe Journal of Finance, 1992
- Risk, Return, and Equilibrium: Empirical TestsJournal of Political Economy, 1973