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

DOI10.1007/S10690-011-9146-4zbMath1242.91192OpenAlexW2003678976MaRDI QIDQ436945

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

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

zbMATH Keywords

default riskcompound option modelFama and French's three factor model

Mathematics Subject Classification ID

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

Cites Work

• The Pricing of Options and Corporate Liabilities
• Extending the Merton model: A hybrid approach to assessing credit quality
• Common risk factors in the returns on stocks and bonds

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