... investigated other models including the single-index model,and some of these results will be discussed in footnotes.29 The Fama-Frenchmodel employs the excess return on the market, the return ... multifactor models, the Connor and Korajczyk ~1993! empirically de-rived model and the multifactor model tested by us earlier. See Elton et al. ~1999!. These resultswill be discussed in footnotes. ... rates, and marginal default probabilities. First, the coupon was set so that a 10-year bond with that coupon would be sellingclose to par in all periods.16 The only estimates available for recovery...