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Publication - Dr Paula Hill

    The impact of diverse measures of default risk on UK stock returns

    Citation

    Chen, J & Hill, PC, 2013, ‘The impact of diverse measures of default risk on UK stock returns’. Journal of Banking and Finance, vol 37., pp. 5118

    Abstract

    A number of recent papers examine the relationship between default risk and equity returns, and the
    results are mixed. These studies employ different measures of default risk and we find that correlations
    between eight diverse measures of default risk tend to be less than 50%. Nonetheless, we find that the
    relationship between stock returns and diverse measures of default risk tends to be consistent; default
    risk is a significant determinant of stock returns and this relationship is ‘‘hump backed’’, as predicted
    by Garlappi and Yan (2011).

    Full details in the University publications repository