Since its publication, the seminal structural model of default by has become the workhorse
for gaining insights about how firms choose their capital structure, a “bread and butter” topic …

Short-term debt that can serve as a medium of exchange is designed to be information
insensitive. No one should be tempted to acquire private information to gain an informational …

Investor concerns about climate and other environmental regulatory risks suggest that these
risks should affect corporate bond risk assessment and pricing. We test this hypothesis and …

Recent studies document strong empirical support for multifactor models that aim to explain
the cross-sectional variation in corporate bond expected excess returns. We revisit these …

We study the role of financial frictions and firm heterogeneity in determining the investment
channel of monetary policy. Empirically, we find that firms with low default risk—those with …

Municipal bond markets began pricing sea-level rise (SLR) exposure risk in 2013,
coinciding with upward revisions to worst-case SLR projections and accompanying …

Using micro-level data, we construct a credit spread index with considerable predictive
power for future economic activity. We decompose the credit spread into a component that …

This paper explores the determinants of corporate failure and the pricing of financially
distressed stocks whose failure probability, estimated from a dynamic logit model using …

Unregulated US corporations dramatically increased their debt usage over the past century.
Aggregate leverage—low and stable before 1945—more than tripled between 1945 and …

We propose a conditional factor model for corporate bond returns with five factors and time‐
varying factor loadings. We have three main empirical findings. First, our factor model excels …