Harjoat S. Bhamra
Current Organizations / Institutes
The organizations/institutes from the scholar's latest article
Research Subjects
Research Interests
Harjoat S. Bhamra has a total of 2 co-authors. Here are the top co-authors by number of shared publications:
Ilya A. Strebulaev
Graduate School of Business, Stanford University
1 shared publicationLars-Alexander Kuehn
Tepper School of Business, Carnegie Mellon University
1 shared publication
Latest Publications
- 26 October 2009
- Published by Oxford University Press (OUP) in The Review of Financial Studies
- Vol. 23 (2) , 645-703
The Levered Equity Risk Premium and Credit Spreads: A Unified Framework
We embed a structural model of credit risk inside a dynamic continuous-time consumption-based asset pricing model, which allows us to price equity and corporate debt in a unified framework. Our key economic assumptions are that the first and second moments of earnings and consumption growth depend on the state of the economy, which switches randomly, creating intertemporal risk, which agents prefer to resolve sooner rather than later, because they have Epstein-Zin-Weil preferences. Agents optimally choose dynamic capital structure and default times. For a dynamic cross-section of firms, our model endogenously generates a realistic average term structure and time series of actual default probabilities and credit spreads, together with a reasonable levered equity risk premium, which varies with macroeconomic conditions.
- 26 October 2009
- Published by Oxford University Press (OUP) in The Review of Financial Studies
- Vol. 23 (2) , 645-703
The Levered Equity Risk Premium and Credit Spreads: A Unified Framework
We embed a structural model of credit risk inside a dynamic continuous-time consumption-based asset pricing model, which allows us to price equity and corporate debt in a unified framework. Our key economic assumptions are that the first and second moments of earnings and consumption growth depend on the state of the economy, which switches randomly, creating intertemporal risk, which agents prefer to resolve sooner rather than later, because they have Epstein-Zin-Weil preferences. Agents optimally choose dynamic capital structure and default times. For a dynamic cross-section of firms, our model endogenously generates a realistic average term structure and time series of actual default probabilities and credit spreads, together with a reasonable levered equity risk premium, which varies with macroeconomic conditions.