TY  - UNPD
A1  - Reindl, Johann
A1  - Stoughton, Neal
A1  - Zechner, Josef
T1  - Market implied costs of bankruptcy
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2013,27
N2  - This paper takes a novel approach to estimating bankruptcy costs by inference from market prices of equity and put options using a dynamic structural model of capital structure. This approach avoids the selection bias of looking at firms in or near default and therefore permits theories of ex ante capital structure determination to be tested. We identify significant cross sectional variation in bankruptcy costs across industries and relate these to specific firm characteristics. We find that asset volatility and growth options have significant positive impacts, while tangibility and size have negative impacts. Our bankruptcy cost variable estimate significantly negatively impacts leverage ratios. This negative impact is in addition to that of other firm characteristics such as asset intangibility and asset volatility. The results provide strong support for the tradeoff theory of capital structure.
T3  - CFS working paper series - 2013, 27 
Y1  - 2013
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/32504
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-325041
IS  - August 2013
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -