Inclusion of debt claims in asset pricing models: Evidence from the CDS Index
Asset pricing theory suggests that the correct proxy for the market portfolio should contain both the debt and equity claims of the economy, whereas prevailing empirical studies fail to include the debt claim. Motived by the discrepancy between the theoretical and empirical models and the difficulty...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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LLC "CPC "Business Perspectives"
2023-05-01
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| Series: | Investment Management & Financial Innovations |
| Subjects: | |
| Online Access: | https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/18116/IMFI_2023_02_Du.pdf |