Growth options, macroeconomic conditions, and the cross section of credit risk

• 成果类型: Article
• 署名作者: Arnold, Marc; Wagner, Alexander F.; Westermann, Ramona
• 署名单位: University of St Gallen; University of Geneva
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.08.017
• 发表日期: 2013
• 页码: 350-385
• 关键词: capital structure; Credit spread puzzle; GROWTH OPTIONS; Macroeconomic risk; VALUE PREMIUM

摘要

This paper develops a structural equilibrium model with intertemporal macroeconomic risk, incorporating the fact that firms are heterogeneous in their asset composition. Compared with firms that are mainly composed of invested assets, firms with growth options have higher costs of debt because they are more volatile and have a greater tendency to default during recession when marginal utility is high and recovery rates are low. Our model matches empirical facts regarding credit spreads, default probabilities, leverage ratios, equity premiums, and investment clustering. Importantly, it also makes predictions about the cross section of all these features. (c) 2012 Elsevier B.V. All rights reserved.