Strategic Default, Debt Structure, and Stock Returns

Valta, Philip

Scientific article

English

Strategic Default, Debt Structure, and Stock Returns

Contributors

Valta, Philip

Published in

Journal of financial and quantitative analysis, vol. 51, no. 1, p. 1-33

Publication date

2016

Abstract

This paper theoretically and empirically investigates how debt structure and strategic interaction among 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 U.S. firms for the period 1985–2012, the paper presents new evidence on the link between debt structure and stock returns that is supportive of the model's predictions.

UNIGE affiliation entities

Faculté d'économie et de management / Geneva Finance Research Institute

Citation (ISO format)

VALTA, Philip. Strategic Default, Debt Structure, and Stock Returns. In: Journal of financial and quantitative analysis, 2016, vol. 51, n° 1, p. 1–33.

Article (Accepted version)

Identifiers

PID : unige:85619

Journal ISSN

0022-1090

874views

752downloads

Creation

25/07/2016 14:55:00

First validation

25/07/2016 14:55:00

Update

15/03/2023 00:36:01

Status update

15/03/2023 00:36:00

Last indexation

31/10/2024 04:06:31

Strategic Default, Debt Structure, and Stock Returns

Contributors

Published in

Publication date

Abstract

UNIGE affiliation entities

Citation (ISO format)

Main files (1)

Identifiers

Journal ISSN

Technical informations

Creation

First validation

Update

Status update

Last indexation