A Market-Based Study of the Cost of Default

被引：73

作者：

Davydenko, Sergei A. ^{[1
]}

Strebulaev, Ilya A. ^{[2
,3
]}

Zhao, Xiaofei ^{[1
]}

机构：

[1] Univ Toronto, Rotman Sch Management, Toronto, ON M5S 3E6, Canada

[2] Stanford Univ, Grad Sch Business, Stanford, CA 94305 USA

[3] NBER, Cambridge, MA 02138 USA

来源：

REVIEW OF FINANCIAL STUDIES | 2012年 / 25卷 / 10期

关键词：

CAPITAL STRUCTURE; FINANCIAL DISTRESS; STRUCTURAL MODELS; TERM STRUCTURES; CREDIT SPREADS; BANKRUPTCY; RISK; FIRMS; LIQUIDATION; TRANSACTIONS;

D O I：

10.1093/rfs/hhs091

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article proposes a novel method of extracting the cost of default from the change in the market value of a firm's assets upon default. Using a large sample of firms with observed prices of debt and equity that defaulted over fourteen years, we estimate the cost of default for an average defaulting firm to be 21.7% of the market value of assets. The costs vary from 14.7% for bond renegotiations to 30.5% for bankruptcies, and are substantially higher for investment-grade firms (28.8%) than for highly levered bond issuers (20.2%), which extant estimates are based on exclusively. (JEL G21, G30, G33).

引用

页码：2959 / 2999

页数：41

共 63 条

[1] Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries [J].

Acharya, Viral V. ;

Bharath, Sreedhar T. ;

Srinivasan, Arland .

JOURNAL OF FINANCIAL ECONOMICS, 2007, 85 (03) :787-821

[2] The risk-adjusted cost of financial distress [J].

Almeida, Heitor ;

Philippon, Thomas .

JOURNAL OF FINANCE, 2007, 62 (06) :2557-2586

[3] FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND PREDICTION OF CORPORATE BANKRUPTCY [J].

ALTMAN, EI .

JOURNAL OF FINANCE, 1968, 23 (04) :589-609

[4] A FURTHER EMPIRICAL-INVESTIGATION OF THE BANKRUPTCY COST QUESTION [J].

ALTMAN, EI .

JOURNAL OF FINANCE, 1984, 39 (04) :1067-1089

[5] How costly is financial (not economic) distress? Evidence from highly leveraged transactions that became distressed [J].

Andrade, G ;

Kaplan, SN .

JOURNAL OF FINANCE, 1998, 53 (05) :1443-1493

[6]

[Anonymous], 2004, J INVEST MANAG

[7] ANATOMY OF FINANCIAL DISTRESS - AN EXAMINATION OF JUNK-BOND ISSUERS [J].

ASQUITH, P ;

GERTNER, R ;

SCHARFSTEIN, D .

QUARTERLY JOURNAL OF ECONOMICS, 1994, 109 (03) :625-658

[8]

Berndt A., 2005, MEASURING DEFAULT RI

[9] Do tender offers create value? New methods and evidence [J].

Bhagat, S ;

Dong, M ;

Hirshleifer, D ;

Noah, R .

JOURNAL OF FINANCIAL ECONOMICS, 2005, 76 (01) :3-60

[10] The Aggregate Dynamics of Capital Structure and Macroeconomic Risk [J].

Bhamra, Harjoat S. ;

Kuehn, Lars-Alexander ;

Strebulaev, Ilya A. .

REVIEW OF FINANCIAL STUDIES, 2010, 23 (12) :4187-4241

← 1 2 3 4 5 6 7 →