Alpha and the Risk of Failure » książka
Alpha and the Risk of Failure
ISBN-13: 9783639165098 / Angielski / Miękka / 2009 / 84 str.
This study aims to test, on a specific sample, if abnormal returns or alpha, as defined by the Capital Asset Pricing Model (CAPM) and the Fama-French Three Factor Model (FF-TFM), can be explained by the risk of failure measured using the Skogsvik probability of default model. The study tests data over a 20 year period for 133 Swedish listed companies within the sectors manufacturing, quarrying and mining, and IT.
This study aims to test, on a specificsample, if abnormal returns or alpha, as definedby the Capital Asset Pricing Model (CAPM) and theFama-French Three Factor Model (FF-TFM), can beexplained by the risk of failure measured using theSkogsvik probability of default model. The studytests data over a 20 year period for 133 Swedishlisted companies within the sectors manufacturing,quarrying and mining, and IT.
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