Source: Dissertation Abstracts International, Volume: 79-10(E), Section: A.
Advisors: Anusha Chari Committee members: Mike Aguilar; Eric Ghysels; Peter Hansen; Christian Lundblad.
Özet:
This dissertation consists of two papers in the field of international finance, both under the general theme of corporate distress in emerging markets. In the first paper, I explore how the leverage and size of emerging market firms relates to their financial fragility. I also show that idiosyncratic shocks to large firms have macroeconomic effects. In the second paper, I estimate an emerging market-specific measure of distress risk and explore its asset pricing implications. I find that global financial conditions help explain changes in firms' probability of default, and that distressed stocks earn a premium over their safer counterparts.