Equilibrium Asset Pricing with Leverage and Default
构建了一个一般均衡模型，将股票和公司债券的定价与企业杠杆和总体波动率的内生变动联系起来，解释了杠杆的逆周期变化如何驱动风险溢价的可预测变动，以及债务融资增长如何产生高价值溢价。
ABSTRACT We develop a general equilibrium model linking the pricing of stocks and corporate bonds to endogenous movements in corporate leverage and aggregate volatility. The model features heterogeneous firms making optimal investment and financing decisions and connects fluctuations in macroeconomic quantities and asset prices to movements in the cross section of firms. Empirically plausible movements in leverage produce realistic asset return dynamics. Countercyclical leverage drives predictable variation in risk premia, and debt‐financed growth generates a high value premium. Endogenous default produces countercyclical aggregate volatility and credit spread movements that are propagated to the real economy through their effects on investment and output.