Default risk and equity returns: Australian evidence

Pacific Basin Finance Journal

Volumn 17, Issue 5, 2009, Pages 580-593

  Gharghori, Philip ^a   Chan, Howard ^b   Faff, Robert ^a,c  

^a MONASH UNIVERSITY   (Australia)

^b UNIVERSITY OF MELBOURNE   (Australia)

^c UNIVERSITY OF LEEDS   (United Kingdom)

Author keywords

Asset pricing; Default risk; Fama French model

Indexed keywords

EID: 70049107169     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.pacfin.2009.03.001     Document Type: Article

References (29)

1. Altman E.I. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. Journal of Finance 23 (1968) 589-609
2. Black F. Capital market equilibrium with restricted borrowing. Journal of Business 45 (1972) 444-455
3. Black F., and Scholes M. The pricing of options and corporate liabilities. Journal of Political Economy 81 (1973) 637-654
4. Brockman P., and Turtle H.J. A barrier option framework for corporate security valuation. Journal of Financial Economics 67 (2003) 511-529
5. Chan K.C., and Chen N. Structural and return characteristics of small and large firms. Journal of Finance 46 (1991) 1467-1484
6. Chan H.W.H., and Faff R.W. An investigation into the role of liquidity in asset pricing: Australian evidence. Pacific-Basin Finance Journal 11 (2003) 555-572
7. Chan H.W.H., and Faff R.W. Asset pricing and the illiquidity premium. Financial Review 40 (2005) 429-458
8. Chan K.C., Chen N., and Hsieh D. An exploratory investigation of the firm size effect. Journal of Financial Economics 14 (1985) 451-471
9. Dichev I.D. Is the risk of bankruptcy a systematic risk?. Journal of Finance 53 (1998) 1131-1148
10. Dimson E. Risk measurement when shares are subject to infrequent thin trading. Journal of Financial Economics 7 (1979) 197-226
11. Fama E.F., and MacBeth J. Risk, return, and equilibrium: empirical tests. Journal of Political Economy 81 (1973) 607-636
12. Fama E.F., and French K.R. The cross-section of expected stock returns. Journal of Finance 47 (1992) 427-465
13. Fama E.F., and French K.R. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33 (1993) 3-56
14. Fama E.F., and French K.R. Multifactor explanations of asset pricing anomalies. Journal of Finance 51 (1996) 55-84
15. Gaunt C. Size and book-to-market effects and the Fama French three factor asset pricing model: evidence from the Australian stockmarket. Accounting and Finance 44 (2004) 1-26
16. Gharghori P., Chan H.W.H., and Faff R.W. Factors or characteristics? That is the question. Pacific Accounting Review 18 (2006) 21-46
17. Gharghori P., Chan H.W.H., and Faff R.W. Investigating the performance of alternative default risk models: option-based versus accounting-based approaches. Australian Journal of Management 31 (2006) 207-234
18. Gharghori P., Chan H.W.H., and Faff R.W. Are the Fama-French factors proxying default risk?. Australian Journal of Management 32 (2007) 223-249
19. Halliwell J., Heaney J., and Sawicki J. Size and book to market effects in Australian share markets: a time series analysis. Accounting Research Journal 12 (1999) 122-137
20. Hillegeist S.A., Keating E.K., Cram D.P., and Lundstedt K.G. Assessing the probability of bankruptcy. Review of Accounting Studies 9 (2004) 5-34
21. Jegadeesh N., and Titman S. Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance 48 (1993) 65-91
22. Lintner J. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics 47 (1965) 13-37
23. Lo A.W., and MacKinlay A.C. Data-snooping biases in tests of financial asset pricing models. Review of Financial Studies 3 (1990) 431-468
24. Merton R. On the pricing of corporate debt: the risk structure of interest rates. Journal of Finance 29 (1974) 449-470
25. Newey W.K., and West K.D. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55 (1987) 703-708
26. Ohlson J. Financial ratios and the probabilistic prediction of bankruptcy. Journal of Accounting Research 18 (1980) 109-131
27. Sharpe W.F. Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance 19 (1964) 425-442
28. Vassalou M., and Xing Y. Default risk in equity returns. Journal of Finance 59 (2004) 831-868
29. White H. A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 48 (1980) 817-838