structures with higher bankruptcy risk. Further analysis suggests that the capital structures of smaller firms with lower asset … shocks, making them more susceptible to bankruptcy risk …

for jump-to-default risk. However, these models preclude a "contagion-risk'' channel, where the aggregate corporate bond … contagion-risk. We show that when investors have fragile beliefs (Hansen and Sargent (2009)), contagion premia may be sizable … to large credit events. Model calibrations suggest that while contagion risk premia may be sizable, jump-to-default risk …

We present a dynamic general equilibrium model with agency costs where: i) firms are heterogeneous in the risk of … corporate credit risk relative to the US, and when european firms value more than US firms the flexibility and information …

are positively related to credit risk, resulting in a positive correlation between cash and spreads. In contrast, spreads … are negatively related to the "exogenous'' component of cash holdings that is independent of credit risk factors …, suggesting that precautionary savings are central to understanding the effects of cash on credit risk …

NYSE. Our goal is to identify the factors that contribute to business insolvency and valuation changes during the period …

Higher-beta and higher-volatility equities do not earn commensurately higher returns, a pattern known as the risk … anomaly. In this paper, we consider the possibility that the risk anomaly represents mispricing and develop its implications … for corporate leverage. The risk anomaly generates a simple tradeoff theory: At zero leverage, the overall cost of capital …

This paper models a firm's rollover risk generated by conflict of interest between debt and equity holders. When the …