Systematic Default and Return Predictability in the Stock and Bond Markets

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The threat of default can have a significant impact on asset prices. Shaojun Zhang discusses a structural model-based measure of systematic default, which measures the joint probability of many firms defaulting at the same time.

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Institution: Ohio State University

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The threat of default can have a significant impact on asset prices. Shaojun Zhang discusses a structural model-based measure of systematic default, which measures the joint probability of many firms defaulting at the same time.

Image courtesy of interviewee. October 30, 2023

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