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Strategic Default, Debt Structure, and Stock Returns

Submitted to . 2014
Description 56 p.
Abstract This paper theoretically and empirically investigates how the debt structure and the strategic interaction between shareholders and debt holders in the event of default affect expected stock returns. The model predicts that expected stock returns are higher for firms that face high debt renegotiation difficulties and that have a large fraction of secured or convertible debt. Using a large sample of publicly traded US firms between 1985 and 2012, the paper presents new evidence on the link between debt structure and stock returns that is supportive of the model's predictions.
Keywords Debt structureDebt renegotiationStock returns
Note Soumis dans : Journal of Financial and Quantitative Analysis
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VALTA, Philip. Strategic Default, Debt Structure, and Stock Returns. 2014. doi: 10.2139/ssrn.1101534 https://archive-ouverte.unige.ch/unige:73277

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Deposited on : 2015-06-22

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