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In the first three decades of CRSP data, value stocks have higher betas than growth stocks.Later on, the ranking is reversed and the gap in beta widens. What makes growth strategiesnowadays bear more market risk than value strategies? What are the causes of the reversalin the ranking of betas?...
Persistent link: https://www.econbiz.de/10005868660
This paper develops a dynamic trade-off model of optimal capital structure that takes intoaccount the fact that most firms have both invested assets and growth opportunities. Thesetwo sources of value react quite differently to business cycle risk. In particular, growth optionsare more sensitive...
Persistent link: https://www.econbiz.de/10009305114
jointbehavior of credit spreads, option implied volatilities, and stock returns. Beliefs heterogeneity influences the pricing … kernelin a way that supports more realistic credit spreads and a co–movement with stock return volatility and option …
Persistent link: https://www.econbiz.de/10005868970
This paper provides, and empirically estimates, a model of sovereign default risk on external debt,in which the sovereign endogenously determines the timing of defaulting. The paper o¤ers theoreticalpredictions of the relationship between credit spreads and related macro-variables that are...
Persistent link: https://www.econbiz.de/10005868975