We generalize traditional event-study techniques to allow for event-induced parameter shifts, shifting variances, and firm-specific event periods. Our method, which nests traditional methods, also permits systematic risk to change gradually during the event period and exit the period at higher...

Determinants of yield spreads vary with market conditions and available information, which has implications for debt pricing models. After the bailout of Long Term Capital Management (LTCM) in September 1998, important firm-specific default risk measures, such as leverage, are not significant...