Language:

Investment-Based Corporate Bond Pricing

The Journal of finance (New York), 2014-12, Vol.69 (6), p.2741-2776 [Peer Reviewed Journal]

Full text available

Citations Cited by

Title:
Investment-Based Corporate Bond Pricing
Author: KUEHN, LARS-ALEXANDER ; SCHMID, LUKAS
Subjects: Accounting ; Business structures ; Corporate bonds ; Credit risk ; Default ; Economic models ; Equity ; Financial investments ; Financial leverage ; Investment analysis ; Investment decision ; Investment policy ; Investment risk ; Macroeconomic modeling ; Macroeconomics ; Production economics ; Production functions ; Risk theory ; Spread ; Studies ; Yield curves
Is Part Of: The Journal of finance (New York), 2014-12, Vol.69 (6), p.2741-2776
Description: A standard assumption of structural models of default is that firms' assets evolve exogenously. In this paper, we examine the importance of accounting for investment options in models of credit risk. In the presence of financing and investment frictions, firm-level variables that proxy for asset composition are significant determinants of credit spreads beyond leverage and asset volatility, because they capture the systematic risk of firms' assets. Cross-sectional studies of credit spreads that fail to control for the interdependence of leverage and investment decisions are unlikely to be very informative. Such frictions also give rise to a realistic term structure of credit spreads in a production economy.
Publisher: Cambridge: Blackwell Publishing Ltd
Language: English
Identifier: ISSN: 0022-1082
EISSN: 1540-6261
DOI: 10.1111/jofi.12204
CODEN: JLFIAN
Source: Alma/SFX Local Collection

Back to results list


INSPIRE LIBRARY - TON DUC THANG UNIVERSITY	(84-028) 37 755 057	Feedback
19 Nguyen Huu Tho St. Dist.7, HCM	thuvien@tdtu.edu.vn	Feedback

Searching Remote Databases, Please Wait