期刊
JOURNAL OF BANKING & FINANCE
卷 24, 期 1-2, 页码 255-269出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/S0378-4266(99)00059-X
关键词
structural models; default probabilities; bond yields
This paper empirically compares a variety of firm-value-based models of contingent claims. We formulate a general model which nests versions of the models introduced by Merton (1974), Leland (1994), Anderson and Sundaresan (1996), and Mella-Barral and Perraudin (1997). We estimate these using aggregate time series data for the US corporate bond market, monthly, from August 1970 through December 1996. We find that models fit reasonably well, indicating that variations of leverage and asset volatility account for much of the time-series variations of observed corporate yields. The performance of the recently developed models which incorporate endogenous bankruptcy barriers is somewhat superior to the original Merton model. We find that the models produce default probabilties which are in line with the historical experience reported by Moodys. (C) 2000 Elsevier Science B.V. All rights reserved. JEL classification: G3; C51; G33.
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