Strategic Default, Debt Structure, and Stock Returns
نویسندگان
چکیده
منابع مشابه
Default Risk, Shareholder Advantage, and Stock Returns∗
In this paper, we study the relationship between default probability and stock returns. Using the market-based measure of Expected Default Frequency (EDF) constructed by Moody’s KMV, we first demonstrate that higher default probabilities are not necessarily associated with higher expected stock returns, a finding that complements the existing empirical evidence. We then show that the puzzling...
متن کاملStrategic Behavior, Financing, and Stock Returns
In this paper I analyze how debt structure and the strategic interaction between shareholders and creditors in the event of default a¤ect expected stock returns. By endogenizing shareholdersdecision to default, the model generates new predictions linking rm characteristics to expected stock returns through an intuitive economic mechanism. In particular, the model predicts that expected stock ...
متن کاملUnderinvestment, Capital Structure and Strategic Debt Restructuring∗
In this paper the investment and liquidation policy of a levered firm is analyzed. The possibility of renegotiating the original debt contract is included. It is shown that the shareholders’ option to restructure the outstanding debt exacerbates Myers’ (1977) underinvestment problem. This result is due to a higher wealth transfer from the shareholders to the creditors occurring upon investment ...
متن کاملStock Returns and the Term Structure
It is well known that in the postwar period stock returns have tended to be low when the short term nominal interest rate is high. In this paper I show that more generally the state of the term structure of interest rates predicts stock returns. Risk premia on stocks appear to move closely together with those on 20—year Treasury bonds, while risk premia on Treasury bills move somewhat independe...
متن کاملCorrelation structure of extreme stock returns
It is commonly believed that the correlations between stock returns increase in high volatility periods. We investigate how much of these correlations can be explained within a simple non-Gaussian one-factor description with time independent correlations. Using surrogate data with the true market return as the dominant factor, we show that most of these correlations, measured by a variety of di...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Financial and Quantitative Analysis
سال: 2016
ISSN: 0022-1090,1756-6916
DOI: 10.1017/s002210901600003x