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The Effects Of Default Risk On The Market Model

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  • Michael D. Carpenter
  • I. Keong Chew

Abstract

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  • Michael D. Carpenter & I. Keong Chew, 1983. "The Effects Of Default Risk On The Market Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(3), pages 223-229, September.
  • Handle: RePEc:bla:jfnres:v:6:y:1983:i:3:p:223-229
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1983.tb00331.x
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    References listed on IDEAS

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    1. Galai, Dan & Masulis, Ronald W., 1976. "The option pricing model and the risk factor of stock," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 53-81.
    2. Gooding, Arthur E. & O'Malley, Terence P., 1977. "Market Phase and the Stationarity of Beta," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(05), pages 833-857, December.
    3. Bowman, Robert G, 1979. "The Theoretical Relationship between Systematic Risk and Financial (Accounting) Variables," Journal of Finance, American Finance Association, vol. 34(3), pages 617-630, June.
    4. Kaplan, Robert S & Urwitz, Gabriel, 1979. "Statistical Models of Bond Ratings: A Methodological Inquiry," The Journal of Business, University of Chicago Press, vol. 52(2), pages 231-261, April.
    5. Schwendiman, Carl J & Pinches, George E, 1975. "An Analysis of Alternative Measures of Investment Risk," Journal of Finance, American Finance Association, vol. 30(1), pages 193-200, March.
    6. Fabozzi, Frank J & Francis, Jack Clark, 1977. "Stability Tests for Alphas and Betas over Bull and Bear Market Conditions," Journal of Finance, American Finance Association, vol. 32(4), pages 1093-1099, September.
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    Cited by:

    1. Abad, Pilar & Robles, M. Dolores, 2014. "Credit rating agencies and idiosyncratic risk: Is there a linkage? Evidence from the Spanish Market," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 152-171.

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