Default Risk in Equity Returns: A Study on Augmentation of the ThreeFactor Model of Fama and French with Default Risk Factor,Used

Default Risk in Equity Returns: A Study on Augmentation of the ThreeFactor Model of Fama and French with Default Risk Factor,Used

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SKU: DADAX3846517755
Brand: LAP Lambert Academic Publishing
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This study verifies quantitatively a systematic character of default risk and statistical quality of the competing three and fourfactor asset pricing models. The experimental design applied to this study is premised on the threefactor model of Fama and French enhanced by default risk factor. The study utilizes the factor mimicking portfolio technique for modeling the risks underlying size, value and default risk factors. Distancetodefault estimate, deduced from the optionbased model, is adopted by this study as a proxy for default risk. The augmentation of the threefactor model with default risk factor improves the performance of a conventional asset pricing specification on average. The factor loadings of the portfolios of size, value and default risk factors exhibit properties of risk factor sensitivities for stocks. The size and value factors are found to be common in equity returns, but at the same time not being proxies for default related information.

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