Equilibrium Asset Pricing with Leverage and Default

• 成果类型: Article
• 署名作者: Gomes, Joao F.; Schmid, Lukas
• 署名单位: University of Pennsylvania; University of Southern California; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12987
• 发表日期: 2021
• 页码: 977-1018
• 关键词: capital structure; credit spreads; cross-section; corporate-investment; financial leverage; long-run; RISK; STOCK; equity; shocks

摘要

We develop a general equilibrium model linking the pricing of stocks and corporate bonds to endogenous movements in corporate leverage and aggregate volatility. The model features heterogeneous firms making optimal investment and financing decisions and connects fluctuations in macroeconomic quantities and asset prices to movements in the cross section of firms. Empirically plausible movements in leverage produce realistic asset return dynamics. Countercyclical leverage drives predictable variation in risk premia, and debt-financed growth generates a high value premium. Endogenous default produces countercyclical aggregate volatility and credit spread movements that are propagated to the real economy through their effects on investment and output.