In search of distress risk in emerging markets

被引：15

作者：

Asis, Gonzalo ^{[1
]}

Chari, Anusha ^{[2
,3
,4
,5
]}

Haas, Adam ^{[1
]}

机构：

[1] Univ N Carolina, Dept Econ, Chapel Hill, NC 27515 USA

[2] Univ N Carolina, Dept Econ, Kenan Flagler Business Sch, CB 3305, Chapel Hill, NC 27515 USA

[3] Univ N Carolina, Finance, Kenan Flagler Business Sch, CB 3305, Chapel Hill, NC 27515 USA

[4] NBER, Cambridge, MA 02138 USA

[5] CEPR, Dept Econ, London, England

来源：

JOURNAL OF INTERNATIONAL ECONOMICS | 2021年 / 131卷

关键词：

Emerging markets; Distress risk; Corporate debt; Global factors; Default probabilities; Asset pricing implications; FINANCIAL DISTRESS; RETURN TRADEOFF; PREDICTION; BANKRUPTCY; RATIOS;

D O I：

10.1016/j.jinteco.2021.103463

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper employs a novel multi-country dataset of corporate defaults to develop a model of distress risk specific to emerging markets. The data suggest that global financial variables such as US interest rates and shifts in global liquidity and risk aversion have significant predictive power for forecasting corporate distress risk in emerging markets. We document a positive distress risk premium in emerging market equities and show that the impact of a global "risk-off" environment on default risk is greater for firms whose returns are more sensitive to a composite global factor. (C) 2021 Elsevier B.V. All rights reserved.

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页数：26

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