Is systematic default risk priced in equity returns? [electronic resource] : a cross-sectional analysis using credit derivatives prices / Jorge A. Chan-Lau.
By: Chan-Lau, Jorge A.
Contributor(s): International Monetary Fund. Monetary and Financial Systems Dept | ebrary, Inc.
Material type:
BookSeries: IMF working paper: WP/06/148.Publisher: [Washington, D.C.] : International Monetary Fund, Monetary and Financial Systems Dept., c2006Description: 16 p. : ill.Subject(s): Corporations -- Valuation -- Econometric models | Credit derivatives -- Prices -- Econometric models | Default (Finance) -- Econometric models | Risk -- Econometric modelsGenre/Form: Electronic books.Online resources: An electronic book accessible through the World Wide Web; click to view
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"June 2006."
Includes bibliographical references.
Electronic reproduction. Palo Alto, Calif. : ebrary, 2011. Available via World Wide Web. Access may be limited to ebrary affiliated libraries.
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