Risk premia of common stock returns among firms in financial distress

被引：0

作者：

Theis, JD ^{[1
]}

Casey, KM ^{[1
]}

Redfearn, MR ^{[1
]}

机构：

[1] Univ Texas Permian Basin, Odessa, TX 79762 USA

来源：

DECISION SCIENCES INSTITUTE, 1997 ANNUAL MEETING, PROCEEDINGS, VOLS 1-3 | 1997年

关键词：

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Volatility is often viewed as a measure of risk. Return volatility as measured by conditional variance in Kim and Kon (1994) and others provide a means of impounding the volatility into return estimation This paper is a study using likelihood ratios to test the risk premia parameter in GARCH(1,1) and GARCH-M(1,1) models as firms near bankruptcy. The results do not show improvement in all the in mean models.

引用

页码：256 / 258

页数：3