• JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
 
  Bookmark and Share
 
 
Master's Dissertation
DOI
10.11606/D.12.2012.tde-18102012-182219
Document
Author
Full name
Victor Westrupp
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2012
Supervisor
Committee
Bueno, Rodrigo de Losso da Silveira (President)
Chague, Fernando Daniel
Giovannetti, Bruno Cara
Title in English
The TED spread as a risk factor in the cross section of stock returns
Keywords in English
Credit
Econometrics
Finance
Abstract in English
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).
Title in Portuguese
A TED spread como fator de risco no corte transversal dos retornos de ações
Keywords in Portuguese
Crédito
Econometria
Finanças
Abstract in Portuguese
Esta dissertação apresenta evidência empírica da TED Spread como um fator de risco na cross-section dos retornos de ações. Portfólios com elevada sensibilidade à TED Spread possuem elevados retornos médios ajustados para outros fatores de risco. O apreçamento do risco de TED Spread é especialmente forte entre small caps. TED Spread é uma medida usual de dificuldades de financiamento em mercados interbancários e o resultado obtido é consistente com o modelo Margin-CAPM de Gârleanu and Pedersen (2011).
 
WARNING - Viewing this document is conditioned on your acceptance of the following terms of use:
This document is only for private use for research and teaching activities. Reproduction for commercial use is forbidden. This rights cover the whole data about this document as well as its contents. Any uses or copies of this document in whole or in part must include the author's name.
VictorWestrupp.pdf (544.68 Kbytes)
Publishing Date
2012-10-29
 
WARNING: Learn what derived works are clicking here.
All rights of the thesis/dissertation are from the authors
Centro de Informática de São Carlos
Digital Library of Theses and Dissertations of USP. Copyright © 2001-2019. All rights reserved.