Corporate Bond Default Risk: A 150-Year Perspective

By Kay Giesecke, Francis A. Longstaff, Stephen M. Schaefer, Ilya A. Strebulaev. 2011

343 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/bae60f7802762e2da60aba18757ed59240a22fa4

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Ilya A. Strebulaev
2. Tyler Muir
3. Sergei Davydenko

In Finance

1. Sergei Davydenko
2. Ilya A. Strebulaev
3. Xiaofei Zhao
4. Tyler Muir
5. Zhiguo He
6. Juliane Begenau
7. Juliana Salomao
8. Özde Öztekin

Citations in the corpus

• A Market-Based Study of the Cost of Default (2012, background): “As many as 28.6% of sample firms defaulted in 2001, when the rate of default was one of the highest since the Great Depression (Giesecke et al. (2011)).”
• Financial Crises and Risk Premia (2017, background): “data, Giesecke et al. (2011) find that credit spreads do not predict default rates at all, much as dividend yields only weakly forecast dividend growth (see also CollinDufresne, Goldstein, and Martin 2001; Gilchrist and Zakrajšek 2012). That implies that these fluctuations are instead due to risk pr”
• Exploring the sources of default clustering (2018, unknown): “This finding complements previous results by Collin-Dufresne, Goldstein & Martin (2001), Giesecke et al. (2011), and Gilchrist & Zakraǰsek (2012) on the connection between credit spreads and the business cycle.”