| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25317 |
| 来源ID | Working Paper 25317 |
| Low Inflation: High Default Risk AND High Equity Valuations | |
| Harjoat S. Bhamra; Christian Dorion; Alexandre Jeanneret; Michael Weber | |
| 发表日期 | 2018-12-03 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We develop an asset-pricing model with endogenous corporate policies that explains how inflation jointly impacts real asset prices and corporate default risk. Our model includes two empirically grounded nominal frictions: fixed nominal coupons and sticky profitability. Taken together, these two frictions result in higher real equity prices and credit spreads when inflation falls. An increase in inflation has opposite effects, but with smaller magnitudes. In the cross section, the model predicts the negative impact of inflation on real equity values is stronger for low leverage firms. We find empirical support for the model predictions. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Corporate Finance |
| URL | https://www.nber.org/papers/w25317 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/582991 |
| 推荐引用方式 GB/T 7714 | Harjoat S. Bhamra,Christian Dorion,Alexandre Jeanneret,et al. Low Inflation: High Default Risk AND High Equity Valuations. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25317.pdf（825KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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