Detailed Information
Cited 0 time in 
Cited 0 time in 
Cited 0 time in
Metadata Downloads
The Effect of Credit Risk on Stock Returnsopen accessThe Effect of Credit Risk on Stock Returns
- Other Titles
- The Effect of Credit Risk on Stock Returns
- Issue Date
- May-2009
- Publisher
- 한양대학교 경제연구소
- Keywords
- Equity Return; Credit Risk; Credit Factor; Fama-French Factors; Merton Model
- Citation
- Journal of Economic Research (JER), v.14, no.1, pp.49 - 67
- Indexed
- KCI
- Journal Title
- Journal of Economic Research (JER)
- Volume
- 14
- Number
- 1
- Start Page
- 49
- End Page
- 67
- ISSN
- 1226-4261
- Abstract
- This paper investigates the effect of credit risk on the return of stocks. We construct a systematic factor in relation to credit risk using the credit spreads of individual firms measured from the Merton (1974) model. This enables us to include firms without credit spreads or ratings information in our analysis so that we are free of sample selection bias. The credit factor captures a systematic risk in the Korean stock market, which the standard Fama-French three factors (market, size and value) and the momentum factor cannot fully explain.
- Files in This Item
- Appears in
Collections - 서울 경영대학 > 서울 파이낸스경영학과 > 1. Journal Articles
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
Related Researcher
- Kang, Hyoung Goo
- SCHOOL OF BUSINESS (DEPARTMENT OF FINANCE)