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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
Does short-term debt increase vulnerability to financial crisis, or does short-term debt reflect -- rather than cause -- the incipient crisis? We study the role that short-term debt played in the collapse of the East Asian financial sector in 1997-1998. We alleviate concerns about the...
Persistent link: https://www.econbiz.de/10013119955
decompose the equity risk premium by maturity. We find that both expected dividend growth rates and risk premia exhibit …
Persistent link: https://www.econbiz.de/10013120296
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
-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
Debt maturity influences debt overhang: the reduced incentive for highly- levered borrowers to make real investments … because some value accrues to debt. Reducing maturity can increase or decrease overhang even when shorter-term debt's value …
Persistent link: https://www.econbiz.de/10013105007
We propose a clientele-based model of the yield curve and optimal maturity structure of government debt. Clienteles are … generations of agents at different lifecycle stages in an overlapping-generations economy. An optimal maturity structure exists in …--effects that we also confirm empirically in a panel of OECD countries. Moreover, under the optimal maturity structure, catering to …
Persistent link: https://www.econbiz.de/10013084209
maturity management, as will typically be required to address rollover crisis risk, will be delayed until the end of the …
Persistent link: https://www.econbiz.de/10013071800
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
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