| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27213 |
| 来源ID | Working Paper 27213 |
| In Search of Distress Risk in Emerging Markets | |
| Gonzalo Asis; Anusha Chari; Adam Haas | |
| 发表日期 | 2020-05-25 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | This paper employs a novel multi-country dataset of corporate defaults to develop a model of distress risk specific to emerging markets. The data suggest that global financial variables such as US interest rates and shifts in global liquidity and risk aversion have significant predictive power for forecasting corporate distress risk in emerging markets. We document a positive distress risk premium in emerging market equities and show that the impact of a global "risk-off" environment on default risk is greater for firms whose returns are more sensitive to a composite global factor. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Corporate Finance |
| URL | https://www.nber.org/papers/w27213 |
| 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/584885 |
| 推荐引用方式 GB/T 7714 | Gonzalo Asis,Anusha Chari,Adam Haas. In Search of Distress Risk in Emerging Markets. 2020. |
| 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 | ||
| w27213.pdf（519KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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