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Forecasting Default with the Merton Distance to Default Model
We examine the accuracy and contribution of the Merton distance to default (DD) model, which is based on Merton's (1974) bond pricing model. We compare the model to a "naive" alternative, which usesExpand
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Accounting Quality and Debt Contracting
We study the role of borrower accounting quality in debt contracting. Specifically, we examine how accounting quality affects the borrower's choice of private versus public debt market and how theExpand
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Lending Relationships and Loan Contract Terms
We find that repeated borrowing from the same lender translates into a 10--17 bps lowering of loan spreads and that relationships are especially valuable when borrower transparency is low. TheseExpand
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Does Industry-Wide Distress Affect Defaulted Firms? Evidence from Creditor Recoveries
Using data on defaulted firms in the United States over the period 1982 to 1999, we show that creditors of defaulted firms recover significantly lower amounts in present-value terms when the industryExpand
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So What Do I Get? The Bank's View of Lending Relationships
While many empirical studies document borrower benefits of lending relationships, less is known about lender benefits. A relationship lender's informational advantage over a non-relationship lenderExpand
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Does Asymmetric Information Drive Capital Structure Decisions
Using a novel information asymmetry index based on measures of adverse selection developed by the market microstructure literature, we test whether information asymmetry is an important determinantExpand
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Understanding the Recovery Rates on Defaulted Securities
We document empirically the determinants of the observed recovery rates on defaulted securities in the United States over the period 1982–1999. The recovery rates are measured using the prices ofExpand
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Liquidity Risk of Corporate Bond Returns: A Conditional Approach
We study the exposure of the US corporate bond returns to liquidity shocks of stocks and Treasury bonds over the period 1973 - 2007 in a regime - switching model. In one regime, liquidity shocks haveExpand
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Forecasting Default with the Kmv-Merton Model
We examine the accuracy and contribution of the default forecasting model based on Merton's (1974) bond pricing model and developed by the KMV corporation. Comparing the KMV-Merton model to a similarExpand
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Why Do Firms Use Private Equity to Opt Out of Public Markets
We investigate how firms weigh the costs and benefits of being public in the decision to opt out of the public market and go private. We draw on previous studies of going private and on theExpand
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