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- W2079079042 abstract "This study theoretically and empirically investigates effects of product market competition on credit risk. We first develop a real-options-based structural model in a homogeneous oligopoly and show that credit spreads are positively related to the number of firms in an industry. The disparity of firm size in an industry is relevant to both product market competition and credit risk, and we therefore extend the model to an asymmetric duopoly case. In particular, we demonstrate that credit spreads of relatively small (large) firms within an industry are positively (negatively) related to Herfindahl-Hirschman index, and the relative firm size in an industry is an important determinant of credit risk. The models’ implications are empirically scrutinized by a reduced-form hazard model and generally supported. By performing out-of-sample analyses, the results demonstrate that firm size together with the interaction terms between intra-industry firm size dummies and competition intensity can effectively predict default." @default.
- W2079079042 created "2016-06-24" @default.
- W2079079042 creator A5004040579 @default.
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- W2079079042 date "2013-02-01" @default.
- W2079079042 modified "2023-10-01" @default.
- W2079079042 title "Product market competition and credit risk" @default.
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- W2079079042 doi "https://doi.org/10.1016/j.jbankfin.2012.09.001" @default.
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