Is Default Risk Priced in Equity Returns?

2011 ◽  
Author(s):  
Caren Yinxia G. Nielsen
Keyword(s):  
Default Risk ◽  
Equity Returns

Default Risk in Equity Returns

2002 ◽  
Author(s):  
Maria Vassalou ◽  
Yuhang Xing
Keyword(s):  
Default Risk ◽  
Equity Returns

Default risk and equity returns: Australian evidence

2009 ◽  
Vol 17 (5) ◽  
pp. 580-593 ◽  
Author(s):  
Philip Gharghori ◽  
Howard Chan ◽  
Robert Faff
Keyword(s):  
Default Risk ◽  
Equity Returns

scholarly journals Default Risk in Equity Returns

2004 ◽  
Vol 59 (2) ◽  
pp. 831-868 ◽  
Author(s):  
Maria Vassalou ◽  
Yuhang Xing
Keyword(s):  
Default Risk ◽  
Equity Returns

scholarly journals DEFAULT RISK PREMIUM AND EQUITY RETURN OF NON-FINANCIAL COMPANIES OF PAKISTAN

2017 ◽  
Vol 5 (1) ◽  
pp. 64-76
Author(s):  
Sadaf Adalat
Keyword(s):  
Risk Premium ◽  
Default Risk ◽  
Stock Exchange ◽  
Explanatory Power ◽  
Weighted Average ◽  
Equity Returns ◽  
Investment Strategies ◽  
Size Premium ◽  
Fama And French ◽  
Market Premium

The current study was aimed to examine the relationship between default risk premium and equity return by using sample of hundred companies from period between 2000 and 2015, listed at Karachi Stock Exchange. The firms are chosen on the basis of market capitalization. To examine the role of market premium, size premium, value premium and default premium in estimating the equity returns, the two pass regression was used. It was found that CAPM is valid model as market premium is priced but explanatory power is low. Similarly, the findings suggested that the CAPM model is not better than Fama and French model. Default risk premium is also significantly influencing equity returns. The study findings provided evidence about premium of default risk anomaly in Pakistani markets during the sample period. In default sorted portfolio the low default stocks earn lower than the high default stocks. This study has implications for decision markers in estimating cost of equity as well as weighted average cost of capital as it provides more information in comparison to CAPM. Moreover, information about premium of size, value and default anomaly may facilitate under developing investment strategies.

Sign in / Sign up

Export Citation Format

Share Document