ARTICLE 1 (FROM THE JOURNAL OF FINANCE)

http://onlinelibrary.wiley.com/doi/10.1111/jof.12143/pdf
The Cross-Section of Credit Risk Premia and Equity Returns
ABSTRACT
We explore the link between a firm's stock returns and credit risk using a simple insight from
structural models following Merton (1974) risk premia on e!uit" and credit instruments are
related because all claims on assets must earn the same compensation per unit of risk# $onsistent
with theor"% we find that firms' stock returns increase with credit risk premia estimated from
$&' spreads# $redit risk premia contain information not captured b" ph"sical or risk(neutral
default probabilities alone# )his sheds new light on the *distress pu++le, - the lack of a positi.e
relation between e!uit" returns and default probabilities - reported in pre.ious studies#
1. NILS FRIEWALD,
2. CHRISTIAN WAGNER,
3. JOSEF ZECHNER
ARTICLE (FROM THE JOURNAL OF FINANCE)
http://onlinelibrary.wiley.com/doi/10.1111/jof.12140/pdf
The Cross-Secto! o" #$!$%er$& A'&t(, I!ce!t)es, $!* Rs+ ,re"ere!ces
ABSTRACT
/ estimate a d"namic in.estment model for mutual managers to stud" the cross(sectional
distribution of abilit"% incenti.es% and risk preferences# )he manager's compensation depends on
the si+e of the fund% which fluctuates due to fund returns and due to fund flows that respond to
the fund's relati.e performance# )he model pro.ides an economic interpretation of time(.ar"ing
coefficients in performance regressions in terms of the structural parameters# / document that the
estimates of fund alphas are precise and .irtuall" unbiased# / find substantial heterogeneit" in
abilit"% risk preferences% and pa"(for(performance sensiti.ities that relates to obser.able fund
characteristics#
1. RAL,H S.J. -OIJEN
ARTICLE ! (FROM THE JOURNAL OF FINANCE)
http://onlinelibrary.wiley.com/doi/10.1111/jof.12124/pdf
So)ere%! De"$.&t, Do/estc 0$!+s, $!* F!$!c$& I!stt.to!s
ABSTRACT
We present a model of so.ereign debt in which% contrar" to con.entional wisdom% go.ernment
defaults are costl" because the" destro" the balance sheets of domestic banks# /n our model%
better financial institutions allow banks to be more le.eraged% thereb" making them more
.ulnerable to so.ereign defaults# 0ur predictions go.ernment defaults should lead to declines in
pri.ate credit% and these declines should be larger in countries where financial institutions are
more de.eloped and banks hold more go.ernment bonds# /n these same countries% go.ernment
defaults should be less likel"# 1sing a large panel of countries% we find e.idence consistent with
these predictions#
1. NICOLA GENNAIOLI,
2. AL0ERTO #ARTIN,
3. STEFANO ROSSI