The Cross-Section of Credit Risk Premia and Equity Returns

By Niels Friewald, Christian Wagner, Josef Zechner. 2013

191 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/e2d1a7ef237f0e9c994d72e43e70b29df4f83c1c

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1. Sarah Qian Wang
2. Patrick Augustin
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4. D. Tang

Citations in the corpus

• ... and the Cross-Section of Expected Returns (2013, unknown): “FDR=E[ N0|r R |R>0]Pr(R>0) ≤E[I(N0|r≥1)|R>0]Pr(R>0) =Pr((N0|r ≥1)∩(R>0)) ≤Pr(N0|r ≥1)=FWER, where I(N0|r≥1) is an indicator function of event N0|r ≥1. This implies that procedures that control FWER under a certain significance level automatically control FDR under the same significance level. In our”
• Credit Default Swaps: A Survey (2014, background): “As discussed in Friewald et al. [2014], the Merton model predicts that the “market price of risk (the Sharpe ratio) must be the same for all contingent”