원문정보
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초록
영어
We investigate the effect of distress risk premiums on the performance of structural models of credit default swap (CDS) spreads. The results show that structural variables inspired by theory are more likely to fail in accounting for the CDS spreads of firms with higher distress risk. We argue that the distress risk premium embedded in CDS spreads is culpable in hampering empirical studies using the structural approach because the distress risk premiums are unrelated to firm-specific default rates. Rather, the main driving forces of distress risk premiums are market-wide factors. Our findings point a new direction to resolve the credit spread puzzle.
목차
Abstract
1. Introduction
2. A preliminary analysis and motivation
3. Empirical analysis
3.1 CDS spreads contain DRPs
3.2 DRPs are unrelated to firm-specific default factors
3.3 A higher DRP proportion leads to weaker explanatory power
4. Robustness checks
4.1 A model-free measure of DRPs
4.2 The results of robustness tests
5. Conclusion
Appendix
References
1. Introduction
2. A preliminary analysis and motivation
3. Empirical analysis
3.1 CDS spreads contain DRPs
3.2 DRPs are unrelated to firm-specific default factors
3.3 A higher DRP proportion leads to weaker explanatory power
4. Robustness checks
4.1 A model-free measure of DRPs
4.2 The results of robustness tests
5. Conclusion
Appendix
References
저자정보
참고문헌
자료제공 : 네이버학술정보