返回Google圖書搜尋

Two Essays in Financial Economics

其他書名	Firm Risk Reflected in Security Prices
出版	University of Florida, 2004
URL	http://books.google.com.hk/books?id=WTOIDAEACAAJ&hl=&source=gbs_api

註釋ABSTRACT: We examine the ability to extract risk information from the market prices of a firm's securities. We use contingent claim models for firm valuation to construct risk measures from equity prices, debt prices, and a combination of both. We provide empirical evidence on the relative accuracy and forecasting ability of these measures for industrial and financial firms. We compare a number of methodologies for constructing implied asset volatility estimates for industrial firms. We document that while different methodologies produce different estimates, these differences are not crucial in explaining realized asset volatility, Moody's credit ratings, Altman's Z scores, or default occurrences. Within each test, some estimates outperform others, but no estimate is consistently best. We also show that, while the choice of using equity or debt prices to extract firm risk information appears to be inconsequential, the choice of model parameters is quite important.