In search of distress risk in emerging markets

• 成果类型: Article
• 署名作者: Asis, Gonzalo; Chari, Anusha; Haas, Adam
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2021.103463
• 发表日期: 2021
• 关键词: emerging markets; Distress risk; Corporate debt; Global factors; Default probabilities; Asset pricing implications

摘要

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 positive distress risk premium in emerging market equities and show that the impact of a global risk-off environment on default risk is greater for firms whose returns are more sensitive to a composite global factor. (C) 2021 Elsevier B.V. All rights reserved.