Detailed Information
Cited 0 time in 
Cited 0 time in 
Cited 0 time in
Metadata Downloads
The Effect of Credit Risk on Stock Returns
Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | 강충오 | - |
| dc.contributor.author | 강형구 | - |
| dc.date.accessioned | 2022-12-20T22:18:00Z | - |
| dc.date.available | 2022-12-20T22:18:00Z | - |
| dc.date.created | 2022-09-19 | - |
| dc.date.issued | 2009-05 | - |
| dc.identifier.issn | 1226-4261 | - |
| dc.identifier.uri | https://scholarworks.bwise.kr/hanyang/handle/2021.sw.hanyang/176782 | - |
| dc.description.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. | - |
| dc.language | 영어 | - |
| dc.language.iso | en | - |
| dc.publisher | 한양대학교 경제연구소 | - |
| dc.title | The Effect of Credit Risk on Stock Returns | - |
| dc.title.alternative | The Effect of Credit Risk on Stock Returns | - |
| dc.type | Article | - |
| dc.contributor.affiliatedAuthor | 강형구 | - |
| dc.identifier.doi | 10.17256/jer.2009.14.1.003 | - |
| dc.identifier.bibliographicCitation | Journal of Economic Research (JER), v.14, no.1, pp.49 - 67 | - |
| dc.relation.isPartOf | Journal of Economic Research (JER) | - |
| dc.citation.title | Journal of Economic Research (JER) | - |
| dc.citation.volume | 14 | - |
| dc.citation.number | 1 | - |
| dc.citation.startPage | 49 | - |
| dc.citation.endPage | 67 | - |
| dc.type.rims | ART | - |
| dc.identifier.kciid | ART001344739 | - |
| dc.description.journalClass | 2 | - |
| dc.description.isOpenAccess | Y | - |
| dc.description.journalRegisteredClass | kci | - |
| dc.subject.keywordAuthor | Equity Return | - |
| dc.subject.keywordAuthor | Credit Risk | - |
| dc.subject.keywordAuthor | Credit Factor | - |
| dc.subject.keywordAuthor | Fama-French Factors | - |
| dc.subject.keywordAuthor | Merton Model | - |
| dc.identifier.url | https://www.kci.go.kr/kciportal/landing/article.kci?arti_id=ART001344739 | - |
- 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)