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Default Risk Premia and Asset Returns · Study

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PreprintDefault Risk Premia and Asset Returns

Antje Berndt2006

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Preprintgreen2006

Default Risk Premia and Asset Returns

Antje Berndt · Aziz A. Lookman · Iulian Obreja

35 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1973The Pricing of Options and Corporate Liabilities 1993Common risk factors in the returns on stocks and bonds 1968FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY 1973Risk, Return, and Equilibrium: Empirical Tests 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure

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2011Idiosyncratic volatility vs. liquidity? Evidence from the US corporate bond market 2011Contagion and Excess Correlation in Credit Default Swaps

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2018An empirical comparison of credit spreads between the bond market and the credit default swap marketarticle · 17 shared references 2010Corporate Bond Default Risk: A 150-Year Perspectivereport · 15 shared references 2011Corporate bond default risk: A 150-year perspectivearticle · 13 shared references 2005Credit risk modeling with affine processesarticle · 13 shared references 2011Contagion and Excess Correlation in Credit Default Swapspreprint · 13 shared references 2007Measuring Default Risk Premia from Default Swap Rates and EDFspreprint · 12 shared references

Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations35

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.891746

openalex_workW2117419939

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