Davydenko, Sergei A.; Strebulaev, Ilya A.; Zhao, Xiaofei - In: Review of Financial Studies 25, 10, pp. 2959-2999
This article proposes a novel method of extracting the cost of default from the change in the market value of a firm's assets upon default. Using a large sample of firms with observed prices of debt and equity that defaulted over fourteen years, we estimate the cost of default for an average...
