Does the Merton model apply to the specific circumstances of emerging markets?
(2014) BUSN89 20141Department of Business Administration
- Abstract
- The purpose was to investigate whether the Merton
Model works in emerging markets and if it
does how efficient it works there compared to in
mature markets. Findings show that the Merton model works in emerging
markets and considers country specific information, yet
only through stock prices and volatility. However, the
model does not account for quality and availability of
information in these countries which in turn have a
negative impact on market efficiency.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/4590449
- author
- Cromme, Tobias LU and Buschermöhle, David LU
- supervisor
- organization
- course
- BUSN89 20141
- year
- 2014
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- The Merton model, emerging markets, ratings, emerging markets rating, market efficiency
- language
- English
- id
- 4590449
- date added to LUP
- 2014-08-21 15:03:00
- date last changed
- 2014-08-21 15:03:00
@misc{4590449, abstract = {{The purpose was to investigate whether the Merton Model works in emerging markets and if it does how efficient it works there compared to in mature markets. Findings show that the Merton model works in emerging markets and considers country specific information, yet only through stock prices and volatility. However, the model does not account for quality and availability of information in these countries which in turn have a negative impact on market efficiency.}}, author = {{Cromme, Tobias and Buschermöhle, David}}, language = {{eng}}, note = {{Student Paper}}, title = {{Does the Merton model apply to the specific circumstances of emerging markets?}}, year = {{2014}}, }