期刊名称：Finance Publications / Centre for Financial Research, Cambridge University
出版年度：2004
卷号：2004
出版社：Cambridge University
摘要：In this paper, two structural models where firms have stationary capital structures
and endogenous default barriers are extended to allow the principal value of a firm’s debt to
grow at a constant rate. This allows firms to have a dynamic capital structure. These two
models are then used in conjunction with observable equity data to calculate the implied asset
volatilities of a sample of fifty firms. Unit root tests are applied to the implied asset volatility
and equity volatility processes to determine whether the processes are mean-reverting.
Evidence that asset volatility is mean-reverting is found for forty-six of the fifty firms in the
sample, regardless of which structural model is used to calculate the asset volatility, while the
number of firms whose equity volatility is mean-reverting is in general lower for the poorer
credit classes, consistent with the leverage effect. The mean-reversion of asset volatility has
implications for the modelling of both equity and debt, and for the pricing of equity options,
corporate bonds and credit derivatives.
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