Recently, there has been a fast-growing literature on the determinants of corporate bond
returns, in particular, the driving force of cross-sectional return variation. In this review, we …

Empirical studies of structural credit risk models so far are often based on calibration, rolling
estimation, or regressions. This paper proposes a GMM-based method that allows us to …

We show theoretically and empirically that the durations of corporate securities are
monotonically related to their capital structure priority, with equity often having a negative …