In Search of Distress Risk in Emerging Markets /
This paper employs a novel multi-country dataset of corporate defaults to develop a model of distress risk specific to emerging markets. The data suggest that global financial variables such as US interest rates and shifts in global liquidity and risk aversion have significant predictive power for f...
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- Sprache:
- Englisch
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Cambridge, Mass.
National Bureau of Economic Research
2020.
- Zusammenfassung:
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This paper employs a novel multi-country dataset of corporate defaults to develop a model of distress risk specific to emerging markets. The data suggest that global financial variables such as US interest rates and shifts in global liquidity and risk aversion have significant predictive power for forecasting corporate distress risk in emerging markets. We document a positive distress risk premium in emerging market equities and show that the impact of a global "risk-off" environment on default risk is greater for firms whose returns are more sensitive to a composite global factor.
- Umfang:
- 1 online resource: illustrations (black and white);
- Anmerkungen:
- May 2020.
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