Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle

By Alexander David. 2008

121 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/ee59f19b3af25468f026f7c03673c6cbb2f29753

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Citations in the corpus

Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle (2018, unknown): “As in David [2008], the non-linearity inherent in the model implies that the average credit spreads are higher than the spreads at average market leverage.”
The Levered Equity Risk Premium and Credit Spreads: A Unified Framework (2010, methodology): “Tan and Yan (2006) use the same framework as David (2008), but with an observable mean-reverting growth rate for firm earnings and without explicitly accounting for inflation.”
Learning in Financial Markets (2009, background): “Finally, David (2008a) uses learning about unobservable regime shifts in the fundamentals to explain why the observed credit spreads are higher than spreads produced by Merton-like models calibrated to the observed default frequencies.”
Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure (2010, background): “Those recessions with high (low) volatility are the most (least) severe, and are marked with the darkest (lightest) David (2006) argues that the time-varying leverage ratios can also lead to higher average credit spreads over time, because credit spreads are convex functions of the solvency ratio (i”
Market Conditions, Default Risk and Credit Spreads (2010, unknown): “2These models include Bhamra, Kuehn and Strebulaev (2007), Chen (2007), Chen, Collin-Dufresne and Goldstein (2007), David (2007), Hackbarth, Miao, and Morellec (2006), and Tang and Yan (2006).”
What Ties Return Volatilities to Price Valuations and Fundamentals? (2013, unknown): “First, it is related to the previous literature about Bayesian learning and asset prices, volatilities, prices, and fundamentals 687 and especially David ð1997, 2008Þ and Veronesi ð1999, 2000Þ.”