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Cited by 610

The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.

Rollover Risk and Credit Risk

HE, ZHIGUO, XIONG, WEI·2012·The Journal of Finance
DOI 10.1111/j.1540-6261.2012.01721.x
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Abstract

Our model shows that deterioration in debt market liquidity leads to an increase in not only the liquidity premium of corporate bonds but also credit risk. The latter effect originates from firms' debt rollover. When liquidity deterioration causes a firm to suffer losses in rolling over its maturing debt, equity holders bear the losses while maturing debt holders are paid in full. This conflict leads the firm to default at a higher fundamental threshold. Our model demonstrates an intricate interaction between the liquidity premium and default premium and highlights the role of short‐term debt in exacerbating rollover risk.

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Metadata

Authors
HE, Z., & XIONG, W.
Venue
The Journal of Finance
Publisher
Wiley
Published
2012-03-27
Volume
67
Issue
2
Pages
391-430
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.2012.01721.x
OpenAlex
W3123115626
Cited by
610
References
2
FWCI
63.68
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Rollover Risk and Credit Risk. https://app.cochat.ai/papers/10.1111/j.1540-6261.2012.01721.x
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HE, Z., & XIONG, W. (2012). Rollover Risk and Credit Risk. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2012.01721.x

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.