The Levered Equity Risk Premium and Credit Spreads: A Unified Framework

By Harjoat S. Bhamra, L. Kuehn, Ilya A. Strebulaev. 2010

315 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/6027f6285dad44bd69e8767b4627a67c583b972c

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Citations in the corpus

A theory of corporate financial decisions with liquidity and solvency concerns (2011, unknown): “…risk has been recently successfully incorporated into contingent claims models of capital structure (Hackbarth, Miao, and Morellec, 2006; Bhamra, Kuehn, and Strebulaev, 2010; Chen, 2010) and may also have an important impact on corporate liquidity and solvency risks and their…”
The Cost of Debt (2010, unknown): “∗We thank Rick Green (the Acting Editor), and an anonymous referee, Heitor Almeida, Ravi Bansal, Jonathan Berk, Michael Brandt, Alon Brav, Hui Chen, Dave Denis, Simon Gervais, Cam Harvey, Han Hong, Ralph Koijen, Mike Lemmon, Rich Mathews, Bertrand Melenberg, Mitch Petersen, Francisco PérezGonzález”
A Market-Based Study of the Cost of Default (2012, background): “…bond-pricing models (Eom, Helwege, and Huang (2004); Huang and Huang (2003)), calibrations of dynamic models of the levered firm (Miao (2005)), studies of the effect of macroeconomic variables on asset prices and capital structure (Bhamra, Kuehn, and Strebulaev (2010a, 2010b)), and other settings.”
Risk Price Dynamics (2009, unknown): “We will subsequently use the stochastic discount factor to calculate the shock-price elasticities for consumption dynamics estimated by Bonomo and (15)Calvet and Fisher (2008), Chen (2008), and Bhamra et al. (2008) generate stochastic discount factors with discontinuous trajectories using the contin”
Market Conditions, Default Risk and Credit Spreads (2010, unknown): “Other papers introduce habit-formation or recursive preference structures in order to illustrate the connection between the equity risk premium puzzle and the credit spread puzzle (Bhamra et al., 2007; Chen et al., forthcoming), or reconcile the observed high credit spreads with low corporate levera”
Credit Default Swaps: A Survey (2014, background): “8 Bharath and Shumway (2008) find that the distance-todefault measure from Merton (1974) is insufficient in predicting CDS spreads.”
Consumption Volatility Risk (2012, unknown): “6Other papers building on the long-run risk framework of Bansal and Yaron (2004) include Bhamra, Kuehn, and Strebulaev (2007), Hansen, Heaton, and Li (2008) and Bansal, Dittmar, and Kiku (2009).”
Rising Intangible Capital, Shrinking Debt Capacity, and the U.S. Corporate Savings Glut (2013, background): “We now split the sample between bottom and top quartiles of the following (time-invariant) proxies of investment frictions: (4-SIC) industry frequency of investment inaction (Rows [1] to [2]), of small investments (Rows [5] to [6]), and an indicator for whether there are investment spikes in the ind”