idiosyncratic risk than a comparable U.S. firm. Country characteristics help explain variation in the level of idiosyncratic risk …, but less so than firm characteristics. Idiosyncratic risk falls as government stability and respect for the rule of law … improve. Idiosyncratic risk is positively related to stock market development but negatively related to bond market …

This paper employs a novel multi-country dataset of corporate defaults to develop a model of distress risk specific to … emerging markets. The data suggest that global financial variables such as US interest rates and shifts in global liquidity and … risk aversion have significant predictive power for forecasting corporate distress risk in emerging markets. We document a …

stock returns, more volatile past stock returns, lower cash holdings, higher market-book ratios, and lower prices per share … betas, and loadings on value and small-cap risk factors than stocks with a low risk of failure. These patterns hold in all … size effects are compensation for the risk of financial distress …

This paper models a firm's rollover risk generated by conflict of interest between debt and equity holders. When the … market liquidity and shorter debt maturity can exacerbate this externality and cause costly firm bankruptcy at higher … fundamental thresholds. Our model provides implications on liquidity-spillover effects, the flight-to-quality phenomenon, and …

, inflation, the output gap, and cash flow growth. We also view risk aversion, uncertainty about inflation and output, and … liquidity proxies as additional potential factors. We find that macro-economic fundamentals contribute little to explaining … stock and bond return correlations, but that other factors, especially liquidity proxies, play a more important role. The …

In 2003, after claims of dumping, the U.S. imposed heavy tariffs on imports of catfish from Vietnam. As a result … households more exposed to the shock reduced the share of investment assigned to catfish, while substituting into agriculture …

driving asset prices to 'overshoot' equilibrium when an asset bubble bursts--threatening widespread insolvency and what …

the guarantee-extending parties to "walk away". I derive the optimal risk management rule in such a framework and show … that it allows high volatility choices, while net worth is high. However, risk limits tighten abruptly when the firm's net … risk management rules, and can account for phenomena such as "flight to quality" …

a theoretical model to show that redefault risk, the possibility that a borrower will still default despite costly … renegotiation, and self-cure risk, the possibility that a seriously delinquent borrower will become current without renegotiation …

asset prices and corporate default risk. Our model includes two empirically grounded nominal frictions: fixed nominal …