Lending an Ear to the Market - The Credit Spread to Duration as a Measure of Financial Constraints

  • Wadim Djatschenko
  • Published 2016

Abstract

I introduce a new market-based approach to quantify a firm’s exposure to financial constraints. The resulting measure that I call Credit Spread to Duration is a firmspecific, time-varying, continuous variable that captures the financial market’s evaluation of the respective firm’s soundness. To my knowledge this is the first measure of financial constraints… (More)

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Cite this paper

@inproceedings{Djatschenko2016LendingAE, title={Lending an Ear to the Market - The Credit Spread to Duration as a Measure of Financial Constraints}, author={Wadim Djatschenko}, year={2016} }