Explaining the Default Risk Premium Anomaly Using Two Beta Model
Objective: Given some failures of the Capital Asset Pricing Model in explaining the default risk anomaly, some researchers have claimed the two-beta model, established by Campbell and Vulteenaho (2004), is functionally able to explain this peculiarity. Originated primarily from CAPM, two-beta model...
| Main Authors: | , , |
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| Format: | Article |
| Language: | fas |
| Published: |
University of Isfahan
2019-09-01
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| Series: | Journal of Asset Management and Financing |
| Subjects: | |
| Online Access: | https://amf.ui.ac.ir/article_22823_ba89da25744857932201dde7a0f5b474.pdf |