issuers, we provide evidence to support a statistically significant negative downgrade risk premium in excess returns …, suggesting that stocks at higher risk of failure tend to deliver lower returns. The performance of the model remains robust …

out some key issues on how the credit risk associated to these products can be reduced and, finally, in the last section …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a … pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …

the information would otherwise have become public. Consequently, disclosure shifts risk from later cohorts of investors … to allocate risk intertemporally. This paper shows that a policy of partial disclosure (and, hence, of intertemporal risk …

While empirical literature has documented a negative relation between default risk and stock returns, the theory … suggests that default risk should be positively priced. We provide an explanation for this "default anomaly", by calculating … components. The systematic part, measured as the PD sensitivity to aggregate default risk, is positively related to stock returns …

Building on recent work incorporating recovery risk into structural models we consider the Black-Cox model with an … added recovery risk driver. The recovery risk driver arises naturally in the context of imperfect information implicit in …, whereby the asset risk driver A_t defines the default trigger and the recovery risk driver R_t defines the …

In this work we incorporate recovery risk into Merton's original credit risk model by introducing a separate risk … adding the recovery risk driver has no impact on probabilities of default (PD), it does have an impact on loss given default … (LGD), and on quantities that depend on LGD such as credit prices and spreads. In fact, the addition of recovery risk …

This paper analyses the pricing of systematic risk factors in credit default swap contracts in a two-stage empirical … framework. In the first pass, we estimate contract-specific sensitivities to several systematic risk factors by time … crosssection regressions whether the contract-specific sensitivities to these systematic risk factors are priced in the cross …