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- W2145053886 abstract "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." @default.
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- W2145053886 title "A comparative study of structural models of corporate bond yields: An exploratory investigation" @default.
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- W2145053886 doi "https://doi.org/10.1016/s0378-4266(99)00059-x" @default.
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