martynenko olena (9 resultados)

Condición: New. pp. 96.

Taschenbuch. Condición: Neu. Default Risk in Equity Returns | A Study on Augmentation of the Three-Factor Model of Fama and French with Default Risk Factor | Olena Martynenko (u. a.) | Taschenbuch | 96 S. | Englisch | 2011 | LAP LAMBERT Academic Publishing | EAN 9783846517758 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu.

Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This study verifies quantitatively a systematic character of default risk and statistical quality of the competing three- and four-factor asset pricing models. The experimental design applied to this study is premised on the three-factor model of Fama and French enhanced by default risk factor. The study utilizes the factor mimicking portfolio technique for modeling the risks underlying size, value and default risk factors. Distance-to-default estimate, deduced from the option-based model, is adopted by this study as a proxy for default risk. The augmentation of the three-factor model with default risk factor improves the performance of a conventional asset pricing specification on average. The factor loadings of the portfolios of size, value and default risk factors exhibit properties of risk factor sensitivities for stocks. The size and value factors are found to be common in equity returns, but at the same time not being proxies for default related information. 96 pp. Englisch.

Condición: New. Print on Demand pp. 96 2:B&W 6 x 9 in or 229 x 152 mm Perfect Bound on Creme w/Gloss Lam.

Condición: New. PRINT ON DEMAND pp. 96.

Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Martynenko Olenaobtained a degree of Master of Politology in 2002 and a degree of Master of Science in Finance in 2010.This study verifies quantitatively a systematic character of default risk and statistical quality of the compe.

Kartoniert / Broschiert. Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Hossain AfifMSc in Business and Economics, Karlstad University, Sweden. BBA from Jahangirnagar University, Dhaka. Worked at VFS Global, Dhaka. OLENA MARTYNENKO, MSc in Business and Economics, Karlstad University. Masters in Managem.

Taschenbuch. Condición: Neu. This item is printed on demand - Print on Demand Titel. Neuware -This study verifies quantitatively a systematic character of default risk and statistical quality of the competing three- and four-factor asset pricing models. The experimental design applied to this study is premised on the three-factor model of Fama and French enhanced by default risk factor. The study utilizes the factor mimicking portfolio technique for modeling the risks underlying size, value and default risk factors. Distance-to-default estimate, deduced from the option-based model, is adopted by this study as a proxy for default risk. The augmentation of the three-factor model with default risk factor improves the performance of a conventional asset pricing specification on average. The factor loadings of the portfolios of size, value and default risk factors exhibit properties of risk factor sensitivities for stocks. The size and value factors are found to be common in equity returns, but at the same time not being proxies for default related information.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 96 pp. Englisch.

Taschenbuch. Condición: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - This study verifies quantitatively a systematic character of default risk and statistical quality of the competing three- and four-factor asset pricing models. The experimental design applied to this study is premised on the three-factor model of Fama and French enhanced by default risk factor. The study utilizes the factor mimicking portfolio technique for modeling the risks underlying size, value and default risk factors. Distance-to-default estimate, deduced from the option-based model, is adopted by this study as a proxy for default risk. The augmentation of the three-factor model with default risk factor improves the performance of a conventional asset pricing specification on average. The factor loadings of the portfolios of size, value and default risk factors exhibit properties of risk factor sensitivities for stocks. The size and value factors are found to be common in equity returns, but at the same time not being proxies for default related information.