Using the credit spread as an option-risk factor: Size and value effects in CAPM

Journal of Banking and Finance

Volumn 34, Issue 12, 2010, Pages 2995-3009

  Hwang, Young Soon ^a   Min, Hong Ghi ^b   McDonald, Judith A ^c   Kim, Hwagyun ^d   Kim, Bong Han ^e  

^a Busan Development Institute   (South Korea)

^b Korea Advanced Institute of Science and Technology (KAIST)   (South Korea)

^c LEHIGH UNIVERSITY   (United States)

^d TEXAS A AND M UNIVERSITY   (United States)

^e Kongju National University   (South Korea)

Author keywords

CAPM; Credit spread; Option risk factor; Size effect; Value effect

Indexed keywords

EID: 77956942575     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2010.07.005     Document Type: Article

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