The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Default Risk in Equity Returns
Open accessAbstract
This is the first study that uses Merton's (1974) option pricing model to compute default measures for individual firms and assess the effect of default risk on equity returns. The size effect is a default effect, and this is also largely true for the book‐to‐market (BM) effect. Both exist only in segments of the market with high default risk. Default risk is systematic risk. The Fama–French (FF) factors SMB and HML contain some default‐related information, but this is not the main reason that the FF model can explain the cross section of equity returns.
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Cited by
Credit spreads and business cycle fluctuations
Gilchrist, S., & Zakrajšek, E. (2012) · American Economic Review · doi:10.1257/aer.102.4.1692 · Cited by 2,213
… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119
The Eco-Efficiency Premium Puzzle
Derwall, J., Guenster, N., Bauer, R., & Koedijk, K. (2005) · Financial Analysts Journal · doi:10.2469/faj.v61.n2.2716 · Cited by 965
Bank competition and financial stability in Asia Pacific
Fu, X. (., Lin, Y. (., & Molyneux, P. (2014) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2013.09.012 · Cited by 608
The implied cost of capital: A new approach
Hou, K., van Dijk, M. A., & Zhang, Y. (2012) · Journal of Accounting and Economics · doi:10.1016/j.jacceco.2011.12.001 · Cited by 561
Metadata
- Authors
- Vassalou, M., & Xing, Y.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2004-03-25
- Volume
- 59
- Issue
- 2
- Pages
- 831-868
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3125346872
- Cited by
- 1,994
- References
- 2
- FWCI
- 112.03
- Type
- journal article
- Language
- en
- Open access
- bronze
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
