He is with the University of Chicago, and Xiong is with Princeton University and NBER. An earlier draft of this paper was circulated under the title “Liquidity and Short-Term Debt Crises.” We thank Franklin Allen, Jennie Bai, Long Chen, Douglas Diamond, James Dow, Jennifer Huang, Erwan Morellec, Martin Oehmke, Raghu Rajan, Andrew Robinson, Alp Simsek, Hong Kee Sul, S. Viswanathan, Xing Zhou, and seminar participants at Arizona State University, Bank of Portugal Conference on Financial Intermediation, Boston University, Federal Reserve Bank of New York, Indiana University, NBER Market Microstructure Meeting, NYU Five Star Conference, 3rd Paul Woolley Conference on Capital Market Dysfunctionality at London School of Economics, Rutgers University, Swiss Finance Institute, Temple University, Washington University, 2010 Western Finance Association Meetings, University of British Columbia, University of California–Berkeley, University of Chicago, University of Oxford, and University of Wisconsin at Madison for helpful comments. We are especially grateful to Campbell Harvey, an anonymous associate editor, and an anonymous referee for extensive and constructive suggestions.
Rollover Risk and Credit Risk
Version of Record online: 27 MAR 2012
© 2012 the American Finance Association
The Journal of Finance
Volume 67, Issue 2, pages 391–430, April 2012
How to Cite
HE, Z. and XIONG, W. (2012), Rollover Risk and Credit Risk. The Journal of Finance, 67: 391–430. doi: 10.1111/j.1540-6261.2012.01721.x
- Issue online: 27 MAR 2012
- Version of Record online: 27 MAR 2012
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