Do Credit Spreads Reflect Stationary Leverage Ratios

By Pierre Collin-Dufresne, Robert S. Goldstein. 2001

853 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/88be923251a13b856e7be76dd1cdc7246e529ddb

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Citations in the corpus

On the Capital Structure of Real Estate Investment Trusts (REITs) (2007, result): “The authors report that maturity of REIT public debt is positively related to offer spread which is consistent with the predictions of the target debt ratio model of Collin-Dufrense and Goldstein (2001) .”
Single and joint default in a structural model with purely discontinuous assets (2007, methodology): “EHH analyzes the performance not only of the Merton model, but also of Geske (1977), Leland and Toft (1996), Lonstaff and Schwartz (1995) and Collin-Dufresne and Goldstein (2001) models.”
Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004, neutral): “The actual spreads are marked with an asterisk and the predicted spreads from the Collin-Dufresne and Goldstein (2001) model are denoted with a square.”
The Determinants of Credit Default Swap Premia (2009, methodology): “Collin-Dufresne et al. (2001) estimate difference regressions, and their base-case regressions are the ones in Table 4.”
Limited Arbitrage between Equity and Credit Markets (2012, neutral): “Initial attempts to make the model more realistic focused on specifications for the default boundary, recovery, and the stochastic process determining the underlying firm value or leverage (see, e.g., Black and Cox, 1976; Leland, 1994; Leland and Toft, 1996; Longstaff and Schwartz, 1995; Anderson an”
Accounting Transparency and the Term Structure of Credit Spreads (2005, background): “This can be rectified assuming stationary leverage ratios so that the default boundary migrates upward over time along withfirm value (see Collin-Dufresne and Goldstein, 2001 ).”
Dynamic Investment, Capital Structure, and Debt Overhang (2015, neutral): “8 See Kim, Ramaswamy, and Sundaresan (1993); Longstaff and Schwartz (1995); and Collin-Dufresne and Goldstein (2001) for extensions of Merton (1974), to allow for a stochastic interest rate and other features.”
Corporate Bond Default Risk: A 150-Year Perspective (2011, neutral): “Significant extensions of the basic structural credit framework include Black and Cox (1976), Geske (1977), Leland (1994, 2004), Longstaff and Schwartz (1995), Goldstein, Ju, and Leland (2001), Collin-Dufresne and Goldstein (2001), and many others.”
Multi-Period Corporate Default Prediction With Stochastic Covariates (2007, neutral): “…of distributions when they achieve a sufficiently low degree of leverage, and conversely attempt to raise capital and retain earnings to a higher degree when their leverage introduces financial distress or business inflexibility, as modeled by Leland (1998) and Collin-Dufresne and Goldstein (2001).”