Earticle

초록

영어

Our paper estimates expected returns on equity using the corporate yield and historical default experience in the bond market. This is done by reframing the Merton (1974) model in the context of the general equilibrium model such as the Ahn and Thompson (1988). By doing so, we account for systematic jump risk in estimating the expected return on equity and extend Cooper and Davydenko (2003) and Campello, Chen and Zhang (2006) to the case of systematic jump risk. We find that jump risk raises the expected return on equity without increasing the volatility of the firm value and our estimates fit quite well in the historical returns over the period of 1926-2005 in the U.S. capital market.

목차

Abstract
 Ⅰ. Introduction
 Ⅱ. The Model
 Ⅲ. Equilibrium Expected Returns on Debt and Equity
 Ⅳ. Estimating Expected Returns on Debt and Equity
 Ⅴ. Concluding Remarks
 Reference

저자

• Keehwan Park [ Professor of Finance, Business College, Kookmin University, Seoul, Korea, ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330