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Dynamic Debt Maturity
He, Zhiguo - 2016
A firm chooses its debt maturity structure and default timing dynamically, both without commitment. Via the fraction of … newly issued short-term bonds, equity holders control the maturity structure, which affects their endogenous default …
Persistent link: https://www.econbiz.de/10013000527
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Credit Spreads as Predictors of Real-Time Economic Activity : A Bayesian Model-Averaging Approach
Faust, Jon - 2011
portfolios sorted by maturity and credit risk as measured by the issuer's "distance-to-default." The portfolios are constructed …
Persistent link: https://www.econbiz.de/10013130981
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Endogenous Liquidity and Defaultable Bonds
He, Zhiguo - 2012
liquidity, which depends on both the firm fundamental and the time-to-maturity of the bond. Corporate default decisions interact … premium and default premium for credit spreads, we also study the optimal maturity implied by the model based on the tradeoff …
Persistent link: https://www.econbiz.de/10013100361
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Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads
Chen, Hui - 2012
-varying debt maturity choices, as well as its implications for the term structure of credit spreads. Compared to short-term debt … liquidity costs changing over the business cycle, our calibrated model implies that debt maturity is pro-cyclical, firms with … high systematic risk favor longer debt maturity, and that these firms will have more stable maturity structures over the …
Persistent link: https://www.econbiz.de/10013100984
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Dynamic Debt Runs
He, Zhiguo - 2009
the roles played by volatility, illiquidity and debt maturity in driving debt runs, as well as on firms' capital adequacy …
Persistent link: https://www.econbiz.de/10013155020
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Cash Holdings and Credit Risk
Acharya, Viral V. - 2011
Intuition suggests that firms with higher cash holdings are safer and should have lower credit spreads. Yet empirically, the correlation between cash and spreads is robustly positive and higher for lower credit ratings. This puzzling finding can be explained by the precautionary motive for...
Persistent link: https://www.econbiz.de/10013125920
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An Empirical Study of the Credit Market with Unobserved Consumer Typers
Gan, Li - 2008
This paper proposes an econometric model to identify unobserved consumer types in the credit market. Consumers choose different amounts of loan because of differences in their time or risk preferences (types). Thus, the unconditional probability of default is modeled using a mixture density...
Persistent link: https://www.econbiz.de/10012772371
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Designed to Fail : Effects of the Default Option and Information Complexity on Student Loan Repayment
Cox, James C. - 2018
We ask why so few student loan borrowers enroll in Income Driven Repayment when the majority would benefit from doing so. To do so we run an incentivized laboratory experiment using a facsimile of the government's Student Loan Exit Counseling website. We test the role information complexity,...
Persistent link: https://www.econbiz.de/10012907768
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Default and Renegotiation : A Dynamic Model of Debt
Hart, Oliver; Moore, John - 2021
We analyze the role of debt in persuading an entrepreneur to pay out cash flows, rather than to divert them. In the first part of the paper we study the optimal debt contract -- specifically, the trade-off between the size of the loan and the repayment -- under the assumption that some debt...
Persistent link: https://www.econbiz.de/10013215359
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Rollover Risk and Market Freezes
Acharya, Viral V. - 2010
The crisis of 2007-09 has been characterized by a sudden freeze in the market for short-term, secured borrowing. We present a model that can explain a sudden collapse in the amount that can be borrowed against finitely-lived assets with little credit risk. The borrowing in this model takes the...
Persistent link: https://www.econbiz.de/10013148660