Default Risk and Equity Returns: Evidence from the Taiwan Equities Market
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- Fukuta, Yuichi & Yamane, Akiko, 2015. "Value premium and implied equity duration in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 102-121.
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KeywordsDefault risk; Compound option model; Fama and French’s three factor model;
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