Strategic Default, Debt Structure, and Stock Returns

Valta, Philip (2016). Strategic Default, Debt Structure, and Stock Returns. Journal of Financial and Quantitative Analysis, 51(1), pp. 197-229. Cambridge University Press 10.1017/S002210901600003X

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This paper theoretically and empirically investigates how debt structure and strategic interaction among shareholders and debt holders in the event of default affect expected stock returns. The model predicts that expected stock returns are higher for firms that face high debt renegotiation difficulties and that have a large fraction of secured or convertible debt. Using a large sample of publicly traded U.S. firms for the period 1985–2012, the paper presents new evidence on the link between debt structure and stock returns that is supportive of the model’s predictions.

Item Type:

Journal Article (Original Article)

Division/Institute:

03 Faculty of Business, Economics and Social Sciences > Department of Business Management > Institute of Financial Management

UniBE Contributor:

Valta, Philip

Subjects:

300 Social sciences, sociology & anthropology > 330 Economics

ISSN:

0022-1090

Publisher:

Cambridge University Press

Language:

English

Submitter:

Karin Dolder

Date Deposited:

16 Aug 2016 16:29

Last Modified:

17 Aug 2016 11:26

Publisher DOI:

10.1017/S002210901600003X

BORIS DOI:

10.7892/boris.85659

URI:

https://boris.unibe.ch/id/eprint/85659

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