In Search of Distress Risk in Emerging Markets
Anusha Chari () and
No 27213, NBER Working Papers from National Bureau of Economic Research, Inc
This paper employs a novel multi-country dataset of corporate defaults to develop a model of distress risk specific to emerging markets. The data suggest that global financial variables such as US interest rates and shifts in global liquidity and risk aversion have significant predictive power for forecasting corporate distress risk in emerging markets. We document a positive distress risk premium in emerging market equities and show that the impact of a global "risk-off" environment on default risk is greater for firms whose returns are more sensitive to a composite global factor.
JEL-codes: F3 G12 G15 G33 (search for similar items in EconPapers)
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Published as Asis, Gonzalo & Chari, Anusha & Haas, Adam, 2021. "In search of distress risk in emerging markets," Journal of International Economics, Elsevier, vol. 131(C).
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Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:27213
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