کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7409399 | 1481525 | 2016 | 24 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Pricing default risk: The good, the bad, and the anomaly
ترجمه فارسی عنوان
ریسک پیش فرض قیمت گذاری: خوب، بد و ناهنجاری
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد، اقتصادسنجی و مالیه (عمومی)
چکیده انگلیسی
While empirical literature has documented a negative relation between default risk and stock returns, theory suggests that default risk should be positively priced. In this paper, we calculate monthly probabilities of default (PDs) for a large sample of European firms and break them down into systematic and idiosyncratic components. The approach that we follow does not require data on credit spreads, thus it can also be applied to small firms that do not have such data available. In accordance with theory, we find that the systematic part, measured as the PD sensitivity to aggregate default risk, is positively related to stock returns. We show that stocks with higher PDs underperform because they have, on average, higher idiosyncratic risk. Finally, small and value stocks are quite heterogeneous with respect to their exposure to aggregate default risk.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Stability - Volume 26, October 2016, Pages 190-213
Journal: Journal of Financial Stability - Volume 26, October 2016, Pages 190-213
نویسندگان
Sara Ferreira Filipe, Theoharry Grammatikos, Dimitra Michala,