Risk premia of common stock returns among firms in financial distress

被引：0
|
作者：
Theis, JD [1 ]
Casey, KM [1 ]
Redfearn, MR [1 ]
机构：
[1] Univ Texas Permian Basin, Odessa, TX 79762 USA
来源：
DECISION SCIENCES INSTITUTE, 1997 ANNUAL MEETING, PROCEEDINGS, VOLS 1-3 | 1997年
关键词：
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Volatility is often viewed as a measure of risk. Return volatility as measured by conditional variance in Kim and Kon (1994) and others provide a means of impounding the volatility into return estimation This paper is a study using likelihood ratios to test the risk premia parameter in GARCH(1,1) and GARCH-M(1,1) models as firms near bankruptcy. The results do not show improvement in all the in mean models.
引用
收藏
页码：256 / 258
页数：3
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