Is default risk priced? Empirical evidence in the presence of fat tails

Alex Proimos

Research output: Contribution to journalMeeting abstract


Purpose: To determine whether default risk is priced in the presence of fat tails. Originality: Modelling asset returns using a Multivariate t distribution. Key literature / theoretical perspective: Default Likelihood Indicator developed by Vassalou and Xing (2004) and multivariate t research by Kan and Zhou (2006). Design/methodology/approach: Empirical study of monthly US stock returns (1978 – 2007) using portfolios and control variables. Findings: Modelling returns, of distressed stocks, using a multivariate t in place of multivariate normal can have a substantial impact on the associated economic inferences. Practical and Social implications: Asset pricing and portfolio decision-making.
Original languageEnglish
Pages (from-to)66-67
Number of pages2
JournalExpo 2010 Higher Degree Research : book of abstracts
Publication statusPublished - 2010
EventHigher Degree Research Expo (6th : 2010) - Sydney
Duration: 19 Nov 201019 Nov 2010


  • distress
  • default
  • bankruptcy
  • non-normal
  • multivariate-t

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