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BOND BETA AND DEFAULT RISK
Author(s) -
Duvall Richard M.,
Cheney John M.
Publication year - 1984
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1984.tb00374.x
Subject(s) - bond , beta (programming language) , default risk , economics , empirical research , actuarial science , credit risk , econometrics , finance , computer science , mathematics , statistics , programming language
The purpose of this paper is to investigate the relationship between bond betas and default risk. Previous studies conclude that there is an apparent lack of a significant and direct relationship and offer various explanations. This paper illustrates that beta is influenced by offsetting or conflicting factors that cause the relationship to be ambiguous. Empirical evidence confirms the explanation.