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1. 10For examples of this approach in the asset pricing literature see, e.g. Gomes, Kogan, and Zhang (2003) and Zhang (2005). 11To ensure idiosyncratic earnings volatility, σid X, is truly idiosyncratic, we assume it is constant and thus independent of the state of the economy. We also assume that the correlation coefficient, ρXC, is constant. 12The extension to more than two states does not provide any further economic intuition and is straightforward. In particular, the 3-state version of our model and its quantitative implications are very close to that of the 2-state model. Details are available upon request.
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2. 2The credit risk puzzle refers to the finding that structural models of credit risk generate credit spreads smaller than those observed in the data when calibrated to observed default frequencies. Recent evidence is presented in Eom, Helwege, and Huang (1999), Ericsson and Reneby (2003), and Huang and Huang (2003).
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3. 3E.g., Lemmon, Roberts, and Zender (2008) find empirically that financing decisions show strong path-dependence. 4In contrast with our structural-equilibrium model, in pure structural models, it is impossible to recover actual default probabilities since the mapping between the risk neutral and actual probability measure is not modeled. Consequently, such models alone cannot be used to explain the credit spread puzzle.
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4. 5While contemporaneous work by Chen (2008) seeks to resolve the low-leverage and credit spread puzzles, it considers only the results at the optimal refinancing point for an individual firm, which makes it impossible to address the impact of cross-sectional dynamics on default probabilities and credit spreads. Neglecting cross-sectional dynamics also leads Chen to the conclusion that he can resolve the low-leverage puzzle. As shown in Bhamra, Kuehn, and Strebulaev (2008), this conclusion is overturned when cross-sectional dynamics are accounted for. Chen also does not analyze the term structure of credit spreads (he focuses only on tenyear spreads) and does not study comovement between bond and stock markets and the equity premium puzzle.
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5. 6The model of Hackbarth, Miao, and Morellec (2006) may also imply, in a different setting, that asset-value and earnings default boundaries can move in opposite directions.
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6. 7David (2008) also accounts for inflation risk and in addition to resolving the credit spread puzzle, he prices equity (his model matches the historical Sharpe ratio when risk aversion is 16). Tan and Yan (2006) use the same framework as David (2008), but with an observable mean-reverting growth rate for firm earnings and without explicitly accounting for inflation.
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7. 9In assuming so, we follow such papers as Kandel and Stambaugh (1991), Cecchetti, Lam, and Mark (1993), Campbell and Cochrane (1999), and Bansal and Yaron (2004).
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57. Footnotes 1See e.g. Chen, Roll, and Ross (1986), Keim and Stambaugh (1986), Campbell (1987), Fama and French (1989), Fama and French (1993), Whitelaw (1994), Jagannathan and Wang (1996), Cremers (2002), and Tauchen and Zhou (2006).
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67. Hull, J. C., I. Nelken, and A. D. White, 2004, “Merton’s Model, Credit Risk, and Volatility Skews,” Journal of Credit Risk, 1, 1–27.
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68. Jagannathan, R., and Z. Wang, 1996, “The Conditional CAPM and the Cross-Section of Expected Returns,” Journal of Finance, 51, 3–53.

69. Kandel, S., and R. F. Stambaugh, 1991, “Asset Returns and Intertemporal Preferences,” Journal of Monetary Economics, 27, 39–71.

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72. Leary, M. T., and M. R. Roberts, 2005, “Do Firms Rebalance Their Capital Structures?,” Journal of Finance, 60, 2575–2619.

73. Leland, H. E., 1994, “Corporate Debt Value, Bond Covenants, and Optimal Capital Structure,” Journal of Finance, 49, 1213–52.

74. Lemmon, M. L., M. R. Roberts, and J. F. Zender, 2008, “Back to the Beginning: Persistence and the Cross-Sectional Distribution of Capital Structure,” Journal of Finance, forthcoming.
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75. Longstaff, F. A., S. Mithal, and E. Neis, 2005, “Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market,” Journal of Finance, 60, 2213–2253.

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81. Tan, D., and H. Yan, 2006, “Macroeconomic Conditions, Firm Characteristics and Credit Spread Dynamics, ” Journal of Financial Services Research, 29, 177–210.
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82. Tauchen, G., and H. Zhou, 2006, “Realized Jumps on Financial Markets and Predicting Credit Spreads,” Unpublished working paper.
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83. Thorburn, K. S., 2000, “Bankruptcy Auctions: Costs, Debt Recovery, and Firm Survival,” Journal of Financial Economics, 58, 337–68.

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46. Risky Habits and the Marginal Propensity to Consume Output of Permanent Income, or, How Much Would a Permanent Tax Cut Boost Japanese Consumption?. (2000). Carroll, Christopher.
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47. Habit persistence, asset returns and the business cycle. (2000). Fisher, Jonas ; Christiano, Lawrence ; Boldrin, Michele.
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48. Stock and Bond Pricing in an Affine Economy. (1999). Bekaert, Geert ; Grenadier, Steven R..
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49. Growth, Habit Formation, and Catching-up\ with the Joneses. (1997). Raurich, Xavier ; Caballe, Jordi ; Alonso-Carrera, Jaime.
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50. Exploring the Link between Housing and the Value Premium (joint with Stijn Van Nieuwerburgh). (). Lustig, Hanno.
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