Metadaten







Promotionsordnung



Kumulative Dissertation



Titel


Corporate Financial Distress: An Empirical Analysis of Distress Risk

Titel (englisch)



Autor/Autorin


Outecheva, Natalia

2. Autor/Autorin



Geburtsdatum


04.11.1979

Geburtsort


Saratov, Russland

Matrikelnummer



Schlagwörter (GND)


USA; Insolvenzrisiko; Aktienrendite; Geschichte 1980-2004

DDC (Dewey Decimal Classification)


Wirtschaft - 330

Freie Stichwörter (deutsch)


Ausfallrisiko; Unternehmenskrise; Bankrott; Insolvenz

Freie Stichwörter (englisch)


Corporate Finance; Financial distress; Idiosyncratic risk; Distress risk; Merton model; Empirical Asset Pricing; Corporate Financial Distress; Bankruptcy; Default

Kurzfassung



Kurzfassung (englisch)


The empirical research undertaken in this dissertation analyzes the behavior of distress risk, its attributes, and pricing in equity returns. I integrate the theory of financial distress into modern asset pricing theory and examine a particular financial distress phenomenon from the theoretical capital market perspective. I show that recent developments in the stock markets require a revision of traditional portfolio theory. The growth of the derivatives market segment, the appearance of complex financial instruments, and the continuously increasing risk appetite of institutional investors lead to an increase in idiosyncratic risks in the economy. These risks can be exploited in order to achieve higher returns. I demonstrate that systematic risk consists of market risk and a nondiversifiable part of idiosyncratic volatility. Defined in this manner, the pricing of systematic risk can be easily explained with the rational asset pricing theory.

Universität


Universität St.Gallen

Referent/Referentin


Spremann, Klaus (Prof. Dr.)

Korreferent/Korreferentin


Gantenbein, Pascal (Prof. Dr.)

Erweitertes Diss. Komitee



Fachgebiet


Wirtschaftswissenschaften

Sprache


ENG

Promotionstermin (dd.mm.yyyy)


18.02.2008

Erstellungsjahr (yyyy)


2007

Dokumentart


Dissertation

Format


PDF

Dissertationsnummer


3430

Quelle


Natalia Outecheva

PDF-File


dis3430.pdf

Dokumentverknüpfung


Link zu diesem Dokument







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