Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.521177
Title: An empirical analysis of the relationship between the value premium and financial distress within a GARCH framework
Author: Elgammal, Mohammed
Awarding Body: University of Aberdeen
Current Institution: University of Aberdeen
Date of Award: 2010
Availability of Full Text:
Access from EThOS:
Full text unavailable from EThOS. Please try the link below.
Access from Institution:
Abstract:
This thesis provides an empirical analysis of the relationship between the value premium and financial distress. Measures of leverage and default are used as proxies for financial distress. Using both an international data set, 1991 to 2006 and a long time series data set for the United States, 1927 – 2007, the thesis adds knowledge about the role of the value premium in asset pricing theory. Generalised autoregressive conditional heteroscedastic modelling (GARCH) is used and information gathered on the volatility of the value premium. A vector autoregressive (VAR) framework and Granger Causality tests are utilised in order to offer a deeper examination of the relationship between risk premium and economic activity. The results add further evidence to support the view that the value premium appears to be linked to variables associated with financial distress, although it is noted that this does not necessarily mean that participants in financial markets behave rationally.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.521177  DOI: Not available
Keywords: Macroeconomics ; Risk-return relationships ; Rate of return ; Risk
Share: