Frank Xiaoling Zhang

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We provide maximum likelihood estimators of term structures of conditional probabilities of bankruptcy over relatively long time horizons , incorporating the dynamics of firm-specific and macroeconomic covariates. We find evidence in the U.S. industrial machinery and instruments sector, based on over 28,000 firm-quarters of data spanning 1971 to 2001, of(More)
participants at the 2001 AFA meetings in New Orleans and the Accounting and Finance Conference at Michigan provided several useful comments. The suggestions of Greg Duee and Tyler Shumway h a v e improved this paper. The views expressed herein are the authors own and do not necessarily re BLOCKINect those of the Federal Reserve Board or its sta.
F rom a large array of economic and financial data series, this paper identifies three fundamental risk dimensions underlying an economy: inflation, real output growth, and financial market volatility. Furthermore, through a no-arbitrage model, the paper links the dynamics and market pricing of the three risk dimensions to the term structure of U.S.(More)
Pat White and seminar participants at the Federal Reserve Board for helpful suggestions. Matthew Chesnes and Adam Sanjurjo provided excellent research assistance. The views expressed herein are the authors own and do not necessarily reflect those of the Federal Reserve Board or its staff. Abstract This article explores the expectations of the credit market(More)
In an unobservable regime-switching model, investors' learning of the state of future real fundamentals from current inflation leads to dramatic variation in asset valuations and is able to partially resolve five credit risk puzzles: (i) the high level of credit spreads for firms with average solvency ratios and volatility calibrated to their credit rating,(More)
NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminary materials circulated to stimulate discussion and critical comment. The analysis and conclusions set forth are those of the authors and do not indicate concurrence by other members of the research staff or the Board of Governors. References in publications to the(More)
Pat White, along with seminar participants at the Federal Reserve Board, European Finance Association meeting 2003 in Glasgow, Moody's KMV, and American Finance Association meeting 2004 in San Diego for helpful suggestions. Matthew Chesnes and Adam Sanjurjo provided excellent research assistance. The views expressed herein are the authors own and do not(More)
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