Default risk in equity returns

被引：852
|
作者：
Vassalou, M [1 ]
Xing, YH
机构：
[1] Columbia Univ, New York, NY 10027 USA
[2] Rice Univ, Houston, TX 77251 USA
来源：
JOURNAL OF FINANCE | 2004年 / 59卷 / 02期
关键词：
D O I：
10.1111/j.1540-6261.2004.00650.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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 on equity returns. The size effect is a default effect, and this is also largely true for the book-to-market (BM) effect. Both exist only in segments of the market with high default risk. Default risk is systematic risk. The Fama-French (FF) factors SMB and HML contain some default-related information, but this is not the main reason that the FF model can explain the cross section of equity returns.
引用
收藏
页码：831 / 868
页数：38
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