高通胀:低违约风险和低股权估值

IF 6.8 1区 经济学 Q1 BUSINESS, FINANCE Review of Financial Studies Pub Date : 2022-06-06 DOI:10.1093/rfs/hhac021
Harjoat S. Bhamra, Christian Dorion, A. Jeanneret, Michael Weber
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引用次数: 2

摘要

我们开发了一个具有内生企业政策的资产定价模型,该模型解释了通货膨胀如何共同影响实际资产价格和企业违约风险。我们的模型包括两个实证建立的名义刚性:固定名义债券票息(粘性杠杆)和粘性现金流。当预期通胀上升时,这两种摩擦导致实际股价和信贷息差下降。预期通胀的下降会产生相反的影响,其幅度甚至更大。在横截面中,模型预测高预期通胀对低杠杆企业实际股权价值的负面影响更强。我们为模型的预测找到了实证支持。
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High Inflation: Low Default Risk and Low Equity Valuations
We develop an asset pricing model with endogenous corporate policies that explains how inflation jointly affects real asset prices and corporate default risk. Our model includes two empirically founded nominal rigidities: fixed nominal debt coupons (sticky leverage) and sticky cash flows. These two frictions result in lower real equity prices and credit spreads when expected inflation rises. A decrease in expected inflation has opposite effects, with even larger magnitudes. In the cross-section, the model predicts that the negative impact of higher expected inflation on real equity values is stronger for low leverage firms. We find empirical support for the model’s predictions.
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来源期刊
CiteScore
16.00
自引率
2.40%
发文量
83
期刊介绍: The Review of Financial Studies is a prominent platform that aims to foster and widely distribute noteworthy research in financial economics. With an expansive editorial board, the Review strives to maintain a balance between theoretical and empirical contributions. The primary focus of paper selection is based on the quality and significance of the research to the field of finance, rather than its level of technical complexity. The scope of finance within the Review encompasses its intersection with economics. Sponsoring The Society for Financial Studies, the Review and the Society appoint editors and officers through limited terms.
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