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The Effect of Credit Risk on Stock Returns
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| 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.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.format.extent | 19 | - |
| dc.language | 영어 | - |
| dc.language.iso | ENG | - |
| dc.publisher | 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.publisher.location | 대한민국 | - |
| 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.citation.title | Journal of Economic Research (JER) | - |
| dc.citation.volume | 14 | - |
| dc.citation.number | 1 | - |
| dc.citation.startPage | 49 | - |
| dc.citation.endPage | 67 | - |
| dc.identifier.kciid | ART001344739 | - |
| dc.description.isOpenAccess | N | - |
| 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 | - |
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Related Researcher
- Kang, Hyoung Goo
- SCHOOL OF BUSINESS (DEPARTMENT OF FINANCE)