Rollover risk and credit spreads in the financial crisis of 2008
This paper investigates the asset pricing implications of rollover risk, i.e., the risk that firms might not be able to refinance their due liabilities. I find that firm-specific rollover risk coupled with deteriorating credit market conditions significantly increase firms' credit spreads. Duri...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co., Ltd.
2020-11-01
|
| Series: | Journal of Finance and Data Science |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405918820300106 |