Default Risk, Firm Characteristics, and the Valuation of Variable-Rate Debt Instruments
扩展了Ramaswamy和Sundaresan的估值框架，研究浮动利率公司债的风险溢价与发行人违约风险的关系，发现经营现金流与利率正相关时投资者要求更低的风险溢价。
This paper extends the valuation framework developed by Ramaswamy and Sundaresan (1986) to examine the relationship between the risk premium on corporate issues of variable-rate, or floating-rate, debt instruments, and the issuer's risk of default. The investor's expected loss on default of any issue is modeled as a call option written on the stochastic values of future bond payments and the firm's value. Evidence from a sample of 154 U.S. corporate floaters issued over the period 1978 to 1991 shows that investors demand significantly lower risk premiums when positive and large correlations between the issuing firm's operating cash flows and index interest rates are present. There is also evidence concerning the existence of some structural differences in risk premiums based on the issuer's industry and the types of indices used. The impact of callability / puttability and several other market and firm-specific variables are also tested.