The TED spread as a risk factor in the cross section of stock returns / A TED spread como fator de risco no corte transversal dos retornos de ações
AUTOR(ES)
Victor Westrupp
FONTE
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia
DATA DE PUBLICAÇÃO
15/08/2012
RESUMO
We provide empirical evidence of the TED spread as a risk factor in the cross-section of stock returns. Portfolios with high sensitivities to the TED spread have high average risk-adjusted returns. The pricing of TED spread risk is especially strong among small caps. TED spread is a usual measure of funding difficulties in interbank markets and our results are consistent with the Margin-CAPM model of Garleanu and Pedersen (2011).
ASSUNTO(S)
credit crédito econometria econometrics finanças finance
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