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Alpha and the Risk of Failure. Edition No. 1

VDM Publishing House, July 2009, Pages: 84

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.

Gustav, Ohlsson.
Carl, Fredrik and Gustav studied together at the Stockholm School
of Economics. After graduating Carl pursued a career in corporate
finance at Credit Suisse in London, Fredrik joined SEB's Special
Credit Management team and Gustav was made partner at a Swedish
fund management company.