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   "estimand": "Return predictability (factor-model alphas) of the gap between structural model-implied equity value and market equity value, interpreted as mispricing of the default option",
   "strategy": "Implement a structural real-option equity valuation model with firm-specific inputs, sort stocks on model-to-market value, and test long-short alphas. Double-sorts by default-related characteristics, a counterfactual model with the default option shut down, earnings-announcement returns, Fama-MacBeth regressions, and an international out-of-sample test.",
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    "Model inputs (industry leverage refinancing, constant parameters) adequately capture fundamental value",
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   "convention_notes": "Notes define the sort procedure: decile 1 is most overvalued and decile 10 most undervalued, with value-weighted one-month holding. Later tables refer back to the Table II sort. Alphas are reported in percent per month with t-statistics. Factor models are named explicitly, and international tables are organized by country.",
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   {
    "claim": "Long-short strategy on model-implied relative value earns roughly 11% annual four-factor alpha in U.S. stocks",
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   {
    "claim": "Model performance is stronger among distressed and highly volatile stocks",
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   {
    "claim": "Removing the default option sharply weakens the alphas, implicating the option as the driver",
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    "evidence_ref": "Table VIII"
   },
   {
    "claim": "Return spread is larger on earnings announcement days, consistent with mispricing correction",
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   {
    "claim": "Results are not the value premium in disguise",
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   {
    "claim": "Model value predicts returns in several of nine developed markets",
    "evidence_type": "table",
    "evidence_ref": "Tables XV-XVI"
   },
   {
    "claim": "Investors may lack the skills to value options correctly",
    "evidence_type": "prior_literature",
    "evidence_ref": "Poteshman and Serbin (2003); Benartzi and Thaler (2001); Hirshleifer and Teoh (2003)"
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  "structural_summary": "The paper motivates equity misvaluation and proposes an unrecognized source: investors fail to price the default option. It builds a structural real-option valuation model and applies it monthly to the full cross section. It then shows portfolio-sort alphas, rules out a value-premium explanation, and ties performance to the default option via characteristic double-sorts and a shut-down counterfactual. Mispricing-consistent tests (earnings announcements, transparency, time variation) and an international out-of-sample test follow. The paper closes with a brief restatement of findings.",
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