Stefan Heini
eBook, PDF

Factor models on explaining firm's returns in a credit risk context (eBook, PDF)

Is the usual one-factor model good enough?

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Seminar paper from the year 2012 in the subject Business economics - Investment and Finance, grade: 1, University of Leicester (School of Management), language: English, abstract: Scientists use factor models to try to understand the relationship between risk and asset returns and to make estimations of the likely development of the returns in the future (Sharpe 2001, p.1). Today, two of the most renowned factor models to estimate expected returns of an asset or a firm are the Capital Asset Pricing Model (CAPM), introduced by Treynor (1962), Sharpe (1964), Lintner (1965) and Mossin (1966), and...

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