| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12827 |
| DP12827 The Levered Equity Risk Premium and Credit Spreads: A Unified Framework | |
| Harjoat Singh Bhamra; Ilya Strebulaev | |
| 发表日期 | 2018-03-29 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | 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 depend on the state of the economy which switches randomly, creating intertemporal risk, which agents prefer to resolve sooner rather than later, because they have Epstein-Zin-Weil preferences. Agents optimally choose dynamic capital structure and default times. For a dynamic cross-section of firms, our model endogenously generates a realistic average term structure and time series of actual default probabilities and credit spreads, together with a reasonable levered equity risk premium, which varies with macroeconomic conditions. |
| 主题 | Financial Economics |
| 关键词 | Equity premium Corporate bond credit spread Predictability Macroeconomic conditions Jumps Capital structure Default |
| URL | https://cepr.org/publications/dp12827 |
| 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/541637 |
| 推荐引用方式 GB/T 7714 | Harjoat Singh Bhamra,Ilya Strebulaev. DP12827 The Levered Equity Risk Premium and Credit Spreads: A Unified Framework. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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