Investment‐Based Corporate Bond Pricing
研究了在融资和投资摩擦下，企业投资选择对信用利差的影响，发现资产构成代理变量是信用利差的重要决定因素，并解释了信用利差的期限结构。
ABSTRACT A standard assumption of structural models of default is that firms' assets evolve exogenously. In this paper, we examine the importance of accounting for investment options in models of credit risk. In the presence of financing and investment frictions, firm‐level variables that proxy for asset composition are significant determinants of credit spreads beyond leverage and asset volatility, because they capture the systematic risk of firms' assets. Cross‐sectional studies of credit spreads that fail to control for the interdependence of leverage and investment decisions are unlikely to be very informative. Such frictions also give rise to a realistic term structure of credit spreads in a production economy.