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

authors

• Kim, Hwagyun

published proceedings

• Journal of Banking & Finance

author list (cited authors)

• Hwang, Y., Min, H., McDonald, J. A., Kim, H., & Kim, B.

citation count

• 11

complete list of authors

• Hwang, Young-Soon||Min, Hong-Ghi||McDonald, Judith A||Kim, Hwagyun||Kim, Bong-Han

publication date

• December 2010

publisher

• Elsevier BV  Publisher

published in

• Journal of Banking and Finance  Journal

keywords

• Capm
• Credit Spread
• Option-risk Factor
• Size Effect
• Value Effect

Digital Object Identifier (DOI)

• 10.1016/j.jbankfin.2010.07.005

start page

• 2995

end page

• 3009

volume

• 34

issue

• 12

URL

• http://dx.doi.org/10.1016/j.jbankfin.2010.07.005