Do Credit Spreads Reflect Stationary Leverage Ratios ?  

Oleh:

Collin-Dufresne, Pierre ; Goldstein, Robert S.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 5 (2001), page 1929-1958.
Topik: stationary test; spread; mathematical models; leverage; correlation analysis; studies; corporate debt
Fulltext: p 1929.pdf (632.39KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.4 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Most structural models of default preclude the firm from altering its capital structure. In practice, firms adjust outstanding debt levels in response to change sin 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 empricial 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.

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