| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3314 |
| DP3314 IPO Pricing in the dot-com Bubble | |
| Alexander Ljungqvist; William J Wilhelm Jr | |
| 发表日期 | 2002-04-20 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | This Paper analyses corporate bond valuation and optimal call and default rules when interest rates and firm value are stochastic. It then uses the results to explain the dynamics of hedging. Bankruptcy rules are important determinants of corporate bond sensitivity to interest rates and firm value. Although endogenous and exogenous bankruptcy models can be calibrated to produce the same prices, they can have very different hedging implications. We show that empirical results on the relation between corporate spreads and Treasury rates provide evidence on duration and find that the endogenous model explains the empirical patterns better than typical exogenous models. |
| 主题 | Financial Economics |
| 关键词 | Corporate bonds Call Default Stochastic interest rates Endogenous bankruptcy Optimal exercise boundary Hedging Duration |
| URL | https://cepr.org/publications/dp3314 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532340 |
| 推荐引用方式 GB/T 7714 | Alexander Ljungqvist,William J Wilhelm Jr. DP3314 IPO Pricing in the dot-com Bubble. 2002. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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