The Risk-Adjusted Cost of Financial Distress
用公司债券价差推导风险调整后的违约概率，估算财务困境的净现值。对BBB级公司，考虑风险溢价后困境成本达4.5%，远高于忽略风险时的1.4%，且边际成本接近债务的税收优惠，有助于解释企业为何保守举债。
ABSTRACT Financial distress is more likely to happen in bad times. The present value of distress costs therefore depends on risk premia. We estimate this value using risk‐adjusted default probabilities derived from corporate bond spreads. For a BBB‐rated firm, our benchmark calculations show that the NPV of distress is 4.5% of predistress value. In contrast, a valuation that ignores risk premia generates an NPV of 1.4%. We show that marginal distress costs can be as large as the marginal tax benefits of debt derived by Graham (2000) . Thus, distress risk premia can help explain why firms appear to use debt conservatively.