Performance and determinants of the Merton structural model: Evidence from hedging coefficients

Journal of Banking & Finance - Tập 58 - Trang 95-111 - 2015
Flavia Barsotti1, Luca Del Viva2
1Risk Methodologies, Group Financial Risk, Group Risk Management, UniCredit S.p.A., Piazza Gae Aulenti, Tower A, Floor 20, 20154 Milan, Italy
2ESADE Business School, Ramon Llull University, Av. Pedralbes 60-62, E-08034 Barcelona, Spain

Tài liệu tham khảo

Amihud, 2002, Illiquidity and stock returns: cross-section and time-series effects, J. Finan. Markets, 5, 31, 10.1016/S1386-4181(01)00024-6 Amihud, 1986, Asset pricing and the bid-ask spread, J. Finan. Econ., 17, 223, 10.1016/0304-405X(86)90065-6 Anderson, 2000, A comparative study of structural models of corporate bond yields: an exploratory investigation, J. Banking Finance, 24, 255, 10.1016/S0378-4266(99)00059-X Bae, 2009, Creditor rights, enforcement, and bank loans, J. Finance, 64, 823, 10.1111/j.1540-6261.2009.01450.x Bakshi, 2000, Spanning and derivative-security valuation, J. Finan. Econ., 55, 205, 10.1016/S0304-405X(99)00050-1 Bao, J., Pan, J., 2010. Excess volatility of corporate bonds. Charles A. Dice Center Working Paper No. 2010-20. Black, 1976, Valuing corporate securities: some effects of bond indenture provisions, J. Finance, 31, 351, 10.1111/j.1540-6261.1976.tb01891.x Black, 1973, The pricing of options and corporate liabilities, J. Polit. Economy, 81, 637, 10.1086/260062 Carr, 2003, The variance gamma (v.g.) model for share market returns, Math. Finance, 13, 345, 10.1111/1467-9965.00020 Chen, 2007, Corporate yield spreads and bond liquidity, J. Finance LXII, 119, 10.1111/j.1540-6261.2007.01203.x Chen, 2007, Corporate yield spreads and bond liquidity, J. Finance, 62, 119, 10.1111/j.1540-6261.2007.01203.x Chordia, 2005, An empirical analysis of stock and bond market liquidity, Rev. Finan. Stud., 18, 85, 10.1093/rfs/hhi010 Collin-Dufresne, 2001, The determinants of credit spread changes, J. Finance, 56, 2177, 10.1111/0022-1082.00402 Connolly, 2005, Stock market uncertainty and the stock-bond return relation, J. Finan. Quant. Anal., 40, 161, 10.1017/S0022109000001782 Elton, 2001, Explaining the rate spread on corporate bonds, J. Finance, 56, 247, 10.1111/0022-1082.00324 Eom, 2004, Structural models of corporate bond pricing: an empirical analysis, Rev. Finan. Stud., 17, 499, 10.1093/rfs/hhg053 Finlay, 2008, Stationary-increment variance-gamma and t models: simulation and parameter estimation, Int. Stat. Rev., 76, 167, 10.1111/j.1751-5823.2008.00044.x Fleming, 1998, Information and volatility linkages in the stock, bond and money markets, J. Finan. Econ., 49, 111, 10.1016/S0304-405X(98)00019-1 Hansen, 1982, Large sample properties of generalized method of moments estimators, Econometrica, 50, 1029, 10.2307/1912775 Hartmann, P., Straetmans, S., Vries, C.G.D., 2001. Asset market linkages in crisis periods. European Central Bank Working paper No. 71. Helwege, 2013, Liquidity effects in corporate bond spreads, J. Banking Finance Huang, J.-Z., Huang, M., 2003. How much of the corporate-treasury yield spread is due to credit risk? Unpublished Working Paper. Ivashina, 2009, Asymmetric information effects on loan spreads, J. Finan. Econ., 92, 300, 10.1016/j.jfineco.2008.06.003 Leland, 1994, Corporate debt value, bond covenant and optimal capital structure, J. Finance, 49, 1213, 10.1111/j.1540-6261.1994.tb02452.x Leland, 2004, Predictions of default probabilities in structural models of debt, J. Invest. Manage., 2, 5 Leland, 1996, Optimal capital structure, endogenous bankruptcy and the term structure of credit spreads, J. Finance, 51, 987, 10.1111/j.1540-6261.1996.tb02714.x Lesmond, 1999, A new estimate of transaction costs, Rev. Finan. Stud., 12, 1113, 10.1093/rfs/12.5.1113 Longstaff, 2005, Corporate yield spreads: default risk or liquidity? New evidence form the credit-default swap market, J. Finance, 60, 2213, 10.1111/j.1540-6261.2005.00797.x Longstaff, 1995, A simple approach to valuing risky fixed and floating rate debt, J. Finance, 50, 789, 10.1111/j.1540-6261.1995.tb04037.x Lu, 2010, Information uncertainty, information asymmetry and corporate bond yield spreads, J. Banking Finance, 34, 2265, 10.1016/j.jbankfin.2010.02.013 Madan, 1990, The variance gamma (v. g.) model for share market returns, J Business, 63, 511, 10.1086/296519 Madan, 1998, The variance gamma process and option pricing, Eur. Finance Rev., 79, 10.1023/A:1009703431535 Merton, 1974, On the pricing of corporate debt: the risk structure of interest rates, J. Finance, 449 Philip, 1984, Contingent claims analysis of corporate capital structure: an empirical investigation, J. Finance, 39, 611, 10.1111/j.1540-6261.1984.tb03649.x Qi, 2010, Structural models of corporate bond pricing with personal taxes, J. Banking Finance, 34, 1700, 10.1016/j.jbankfin.2010.03.016 Schaefer, 2008, Structural models of credit risk are useful: evidence form hedge ratios on corporate bonds, J. Finan. Econ., 90, 1, 10.1016/j.jfineco.2007.10.006 Schoutens, 2003 Seneta, 2004, Fitting the variance-gamma model to financial data, J. Appl. Probab., 41, 177, 10.1239/jap/1082552198 Tjetjep, 2006, Skewed normal variance-mean models for asset pricing and the method of moments, Int. Stat. Rev., 74, 109, 10.1111/j.1751-5823.2006.tb00164.x