Default risk and equity returns: evidence from the Taiwan equities market

DOI10.1007/S10690-011-9146-4zbMATH Open1242.91192OpenAlexW2003678976MaRDI QIDQ436945FDOQ436945

Authors: Yu-Ling Lin, Ta-Cheng Chang, Su-Jing Yeh 

Publication date: 17 July 2012

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-011-9146-4

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zbMATH Keywords

default riskcompound option modelFama and French's three factor model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

Cites Work

• The pricing of options and corporate liabilities
• Common risk factors in the returns on stocks and bonds
• Extending the Merton model: A hybrid approach to assessing credit quality

Cited In (2)

• Top management compensation and the KMV default risk in China
• Title not available (Why is that?)

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