Do credit spreads reflect stationary leverage ratios?

• 成果类型: Article
• 署名作者: Collin-Dufresne, P; Goldstein, RS
• 署名单位: Carnegie Mellon University; Washington University (WUSTL)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00395
• 发表日期: 2001
• 页码: 1929-1957
• 关键词: term structure; capital structure; corporate-debt; valuation

摘要

Most structural models of default preclude the firm from altering its capital structure. In practice, firms adjust outstanding debt levels in response to changes in firm value, thus generating mean-reverting leverage ratios. We propose a structural model of default with stochastic interest rates that captures this mean reversion. Our model generates credit spreads that are larger for low-leverage firms, and less sensitive to changes in firm value, both of which are more consistent with empirical findings than predictions of extant models. Further, the term structure of credit spreads can be upward sloping for speculative-grade debt, consistent with recent empirical findings.