Bhamra, Harjoat S.; Kuehn, Lars-Alexander; Strebulaev, … - In: Review of Financial Studies 23 (2010) 2, pp. 645-703
We embed a structural model of credit risk inside a dynamic continuous-time consumption-based asset pricing model, which allows us to price equity and corporate debt in a unified framework. Our key economic assumptions are that the first and second moments of earnings and consumption growth...