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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...

Aggregate Implications of Corporate Debt Choices

Nicolas Crouzet.

in The Review of Economic Studies

July 2018; p ublished online October 2017 .

Journal Article. Subjects: Macroeconomics: Consumption, Saving, Production, Employment, and Investment; Banking; Bankruptcy. 27798 words.

Abstract

This article studies the transmission of financial shocks in a model where corporate credit is intermediated via both banks and bond markets. In...

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,...

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...

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...

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...

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...

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...

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...

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....

Capital Structure, Investment, and Fire Sales

Douglas Gale and Piero Gottardi.

in The Review of Financial Studies

September 2015; p ublished online February 2015 .

Journal Article. Subjects: Welfare Economics; Bankruptcy; General Equilibrium and Disequilibrium; Corporate Governance. 12737 words.

We study a dynamic general equilibrium model in which firms choose their investment level and capital structure, trading off the tax advantages of debt against the risk of costly default....

Capital Structure under Heterogeneous Beliefs

Hae Won (Henny) Jung and Ajay Subramanian.

in Review of Finance

August 2014; p ublished online October 2013 .

Journal Article. Subjects: Corporate Governance; Bankruptcy. 18701 words.

We develop a structural model to quantitatively analyze the effects of asymmetric beliefs and agency conflicts on capital structure. Capital structure reflects the dynamic tradeoff between...

Cash Holdings and Credit Risk

Viral Acharya, Sergei A. Davydenko and Ilya A. Strebulaev.

in The Review of Financial Studies

December 2012; p ublished online October 2012 .

Journal Article. Subjects: Corporate Governance; Bankruptcy. 17392 words.

Intuition suggests that firms with higher cash holdings should be “safer” and have lower credit spreads. Yet empirically, the correlation between cash and spreads is robustly positive. This...

The Challenges of Bankruptcy Reform

Elena Cirmizi, Leora Klapper and Mahesh Uttamchandani.

in The World Bank Research Observer

August 2012; p ublished online July 2011 .

Journal Article. Subjects: Law and Economics; Bankruptcy; Corporate Regulation; Economic Development. 7385 words.

The 2008 financial crisis was followed by a global economic downturn, a credit crunch, and a reduction in cross-border lending, trade finance, and foreign direct investment, which adversely...

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Contracts and Exits in Venture Capital Finance

Douglas Cumming.

in The Review of Financial Studies

September 2008; p ublished online August 2008 .

Journal Article. Subjects: Investment Banking; Corporate Governance; Bankruptcy; Mergers and Acquisitions. 17069 words.

Using a sample of European venture capital (VC) investments, I study the relation between VC contracts and exits. The data indicate that ex ante, stronger VC control rights increase the...

Contractual Resolutions of Financial Distress

Nicola Gennaioli and Stefano Rossi.

in The Review of Financial Studies

March 2013; p ublished online December 2012 .

Journal Article. Subjects: Bankruptcy; Law and Economics. 17541 words.

In a financial contracting model, we study the optimal debt structure to resolve financial distress. We show that a debt structure where two distinct debt classes coexist—one class fully...

Cooperative liquidation under competitive stress

Robin M. Cross, Steven T. Buccola and Enrique A. Thomann.

in European Review of Agricultural Economics

September 2009; p ublished online October 2009 .

Journal Article. Subjects: Bankruptcy; Economics; Agricultural Economics; Market Structure, Firm Strategy, and Market Performance. 8553 words.

Competitive environments encourage cooperatives to liquidate by distributing equity to their members, often by raising the transfer prices paid for member raw product. We provide a method...

The Cost of Recessions Revisited: A Reverse-Liquidationist View

Ricardo J. Caballero and Mohamad L. Hammour.

in The Review of Economic Studies

April 2005; p ublished online April 2005 .

Journal Article. Subjects: Prices, Business Fluctuations, and Cycles; Bankruptcy. 13350 words.

The observation that liquidations are concentrated in recessions has long been the subject of controversy. One view holds that liquidations are beneficial in that they result in increased...

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Credit Default Swaps and the Empty Creditor Problem

Patrick Bolton and Martin Oehmke.

in The Review of Financial Studies

August 2011; p ublished online February 2011 .

Journal Article. Subjects: Corporate Governance; Bankruptcy. 18990 words.

The empty creditor problem arises when a debtholder has obtained insurance against default but otherwise retains control rights in and outside bankruptcy. We analyze this problem from an ex...