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Additive Intensity Regression Models in Corporate Default Analysis

David Lando, Mamdouh Medhat, Mads Stenbo Nielsen and Søren Feodor Nielsen.

in Journal of Financial Econometrics

June 2013; p ublished online January 2013 .

Journal Article. Subjects: Econometric and Statistical Methods; Special Topics; Bankruptcy; Econometric Modelling; Corporate Governance. 13776 words.

We consider additive intensity (Aalen) models as an alternative to the multiplicative intensity (Cox) models for analyzing the default risk of a sample of rated, nonfinancial U.S. firms....

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The Aggregate Dynamics of Capital Structure and Macroeconomic Risk

Harjoat S. Bhamra, Lars-Alexander Kuehn and Ilya A. Strebulaev.

in The Review of Financial Studies

December 2010; p ublished online September 2010 .

Journal Article. Subjects: Money and Interest Rates; Economics; Corporate Governance; Bankruptcy. 23516 words.

We study the impact of time-varying macroeconomic conditions on optimal dynamic capital structure for a cross-section of firms. Our structural-equilibrium framework embeds a...

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Asset Fire Sales by Banks: Evidence from Commercial REO Sales

Yongqiang Chu.

in The Review of Corporate Finance Studies

March 2016; p ublished online October 2015 .

Journal Article. Subjects: Economics; Banking; Corporate Governance; Bankruptcy. 9994 words.

I study asset fire sales by commercial banks during the financial crisis. Specifically, I find that banks with lower liquidity levels post lower asking prices, receive lower sale prices,...

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Asset Salability and Debt Maturity: Evidence from Nineteenth-Century American Railroads

Efraim Benmelech.

in The Review of Financial Studies

April 2009; p ublished online April 2008 .

Journal Article. Subjects: Corporate Governance; Bankruptcy; Transport; History of Financial Markets and Institutions; Economic History. 18794 words.

I investigate the effect of assets' liquidation values on capital structure by exploiting the diversity of track gauges in nineteenth-century American railroads. The abundance of track...

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Asset-Backed Securities: Costs and Benefits of “Bankruptcy Remoteness”

Kenneth Ayotte and Stav Gaon.

in The Review of Financial Studies

April 2011; p ublished online September 2010 .

Journal Article. Subjects: Corporate Governance; Bankruptcy; Law and Economics. 18191 words.

This article focuses on a key property of asset-backed securities (ABS); namely, that ABS are designed to achieve “bankruptcy remoteness” of securitized assets from the borrowing firm. This...

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Bank resolution: a framework for the assessment of regulatory intervention

Mathias Dewatripont and Xavier Freixas.

in Oxford Review of Economic Policy

October 2011; p ublished online October 2011 .

Journal Article. Subjects: Financial Regulation; Bankruptcy; Banking. 13660 words.

More than ever, the current crisis has highlighted the cost of banking crises in budgetary and economic growth terms. Whether or not to restructure a bank is a key determinant of who bears...

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Bankruptcy, Counterparty Risk, and Contagion

Holger Kraft and Mogens Steffensen.

in Review of Finance

June 2007; p ublished online March 2007 .

Journal Article. Subjects: Economics; Bankruptcy. 11579 words.

This paper provides a unifying framework for the modeling of various types of credit risks such as contagion effects. We argue that Markov chains can efficiently be used to tackle these...

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Bondholder Concentration and Credit Risk: Evidence from a Natural Experiment

Alberto Manconi, Massimo Massa and Lei Zhang.

in Review of Finance

March 2016; p ublished online April 2015 .

Journal Article. Subjects: Financial Institutions and Services; Insurance; Bankruptcy. 16141 words.

We exploit the impact of hurricane Katrina on insurance companies to study the relationship between bondholder concentration and credit risk. Redemption-driven sales by property and...

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Book-to-Market Equity, Financial Leverage, and the Cross-Section of Stock Returns

Iulian Obreja.

in The Review of Financial Studies

May 2013; p ublished online January 2013 .

Journal Article. Subjects: Economics; Corporate Governance; Bankruptcy. 19700 words.

I propose a new dynamic model of the firm that links operating leverage to both value premium and book-leverage premium in stock returns. Value firms are low-productivity firms with either...

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Can the Trade-off Theory Explain Debt Structure?

Dirk Hackbarth, Christopher A. Hennessy and Hayne E. Leland.

in The Review of Financial Studies

September 2007; p ublished online January 2007 .

Journal Article. Subjects: Economics; Corporate Governance; Bankruptcy. 14485 words.

We examine the optimal mixture and priority structure of bank and market debt using a trade-off model in which banks have the unique ability to renegotiate outside formal bankruptcy....

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