Since 2014
Solvency Risk in Equity Returns
Journal of Financial Studies
View Archive Info| Field | Value | |
| Title |
Solvency Risk in Equity Returns
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| Creator |
Hsien-hsing Liao
Meng-Jung Liao Tsung-kang Chen |
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| Description |
We investigate the relationship between solvency risk and equity returns. We find that there is a solvency state variable which can explain the residual returns which can not be explained by Fama-Frenchfs three factors. We also find that solvency state variable is priced as well as the Fama-Frenchfs three factors. It indicates that a market-wide solvency state variable might need to be added to asset pricing model. |
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| Publisher |
Journal of Financial Studies
財務金èžå¸åˆŠ |
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| Date |
2011-05-27
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| Type |
—
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| Format |
application/pdf
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| Identifier |
http://www.jfs.org.tw/index.php/jfs/article/view/2011130
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| Source |
Journal of Financial Studies; Vol 16, No 2 (2008); 101
財務金èžå¸åˆŠ; Vol 16, No 2 (2008); 101 |
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| Language |
—
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