This paper models a firm's rollover risk generated by conflict of interest between debt and equity holders. When the … market liquidity and shorter debt maturity can exacerbate this externality and cause costly firm bankruptcy at higher … fundamental thresholds. Our model provides implications on liquidity-spillover effects, the flight-to-quality phenomenon, and …

We estimate the pricing of sovereign risk for sixty countries based on fiscal space (debt/tax; deficits/tax) and other … and economically important determinants of market-based sovereign risk. Although the explanatory power of fiscal space … emergence of TED spread as a key pricing factor. However, risk-pricing of the South-West Eurozone Periphery countries is not …

data on both the aggregate stock market and aggregate labor income. The paper finds that aggregate stock market risk is the … main factor determining excess stock and bond returns, but that the price of stock market risk does not equal the … coefficient of relative risk aversion as would be implied by the static Capital Asset Pricing Model …

return effects. The paper also shows how asset pricing theory restricts the expected excess return components of betas …

Cuncertainty%u201D) and changes in risk aversion (%u201Crisk%u201D for short) in the determination of the term structure, equity … prices and risk premiums. Theoretically, we introduce persistent time-varying uncertainty about the fundamentals in an … and many salient asset market phenomena. While the variation in dividend yields and the equity risk premium is primarily …

are positively related to credit risk, resulting in a positive correlation between cash and spreads. In contrast, spreads … are negatively related to the "exogenous'' component of cash holdings that is independent of credit risk factors … liquidity may be related positively to the longer-term probability of default. Our empirical analysis confirms these predictions …

driving asset prices to 'overshoot' equilibrium when an asset bubble bursts--threatening widespread insolvency and what …

the guarantee-extending parties to "walk away". I derive the optimal risk management rule in such a framework and show … that it allows high volatility choices, while net worth is high. However, risk limits tighten abruptly when the firm's net … risk management rules, and can account for phenomena such as "flight to quality" …

Default probability plays a central role in the static tradeoff theory of capital structure. We directly test this … theory by regressing the probability of default on proxies for costs and benefits of debt. Contrary to predictions of the … theory, firms with higher bankruptcy costs, i.e., smaller firms and firms with lower asset tangibility, choose capital …