Alpha and the Risk of Failure

This study aims to test, on a specific
sample, if abnormal returns or alpha, as defined
by the Capital Asset Pricing Model (CAPM) and the
Fama-French Three Factor Model (FF-TFM), can be
explained by the risk of failure measured using the
Skogsvik probability of default model. The study
tests data over a 20 year period for 133 Swedish
listed companies within the sectors manufacturing,
quarrying and mining, and IT.

Autorentext

Carl, Fredrik and Gustav studied together at the Stockholm Schoolof Economics. After graduating Carl pursued a career in corporatefinance at Credit Suisse in London, Fredrik joined SEB's SpecialCredit Management team and Gustav was made partner at a Swedishfund management company.

Klappentext

This study aims to test, on a specificsample, if abnormal returns or alpha, as definedby the Capital Asset Pricing Model (CAPM) and theFama-French Three Factor Model (FF-TFM), can beexplained by the risk of failure measured using theSkogsvik probability of default model. The studytests data over a 20 year period for 133 Swedishlisted companies within the sectors manufacturing,quarrying and mining, and IT.