Default and equity risk premium in the conditions of globalization and the internationalisation of the biggest capital markets of the EU and GFCI countries. Ex post implied equity premium analysis
Abstract:The purpose of the work is to examine the relationship between market risk premium and default. The research hypothesis assumes that the amount of the market risk premium significantly affects the level of the estimated probability of default of the company. The analysis was carried out using the example of the largest capital markets in the European Union and GFCI within the period from 1 January 2012 to 31 December 2018. Time series of the 20 most important stock market indices of non-financial companies rep… Show more
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