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Empirical Research on Corporate Credit-Ratings: A Literature Review

Matthies, Alexander B. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

rating changes. Results from each individual line are important and relevant for the construction and interpretation of … the credit rating scale are essential to understand empirical findings. …

Persistent link: https://www.econbiz.de/10010602092

Statistical properties and stability of ratings in a subset of US firms

Matthies, Alexander B. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

explanatory variables across rating classes may be the cause this problem. Furthermore, we find evidence to suggest that variable … coefficients vary over rating classes when analysed with an unordered loogit model. The sample reproduces well …-established macroeconomic effects of credit ratings found by Blume et al. (1998) and highlights the influence of the rating agencies’ through …

Persistent link: https://www.econbiz.de/10011277271

On the Coexistence of Banks and Markets

Gersbach, Hans; Uhlig, Harald - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

investment banks and rating agencies have screening know-how and can alleviate adverse-selection problems. In competition …, operating with a combination of rating and ongoing monitoring technologies. …

Persistent link: https://www.econbiz.de/10005677908

Transparency through Financial Claims with Fingerprints – A Free Market Mechanism for Preventing Mortgage Securitization Induced Financial Crises

Gründl, Helmut; Post, Thomas - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

Lack of transparency in securitization transactions significantly contributed to the severe financial crisis of 2007–2009. To increase transparency we propose a new mechanism: financial claims with fingerprints. They would allow market participants at each stage of the securitization process...

Persistent link: https://www.econbiz.de/10005207947

The Impact of Credit Default Swap Trading on Loan Syndication

Streitz, Daniel - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015

We analyze the impact of CDS trading on bank syndication activity. Theoretically, the effect of CDS trading is ambiguous: on the one hand, CDS can improve risksharing and hence be a more flexible risk management tool than loan syndication; on the other hand, CDS trading can reduce bank...

Persistent link: https://www.econbiz.de/10011196416

Bank Lending Relationships and the Use of Performance-Sensitive Debt

Adam, Tim R.; Streitz, Daniel - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

We show that performance-sensitive debt (PSD) is used to reduce hold-up problems in repeated lending relationships. Using a large sample of bank loans, we find a more frequent use of PSD if hold-up is more likely, e.g. if a longterm lending relationship exists and the borrower has fewer outside...

Persistent link: https://www.econbiz.de/10010659439

Short-Term Herding of Institutional Traders: New Evidence from the German Stock Market

Kremer, Stephanie; Nautz, Dieter - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

This paper employs a new and comprehensive data set to investigate short-term herding behavior of institutional investors. Using data of all transactions made by financial institutions in the German stock market, we show that herding behavior occurs on a daily basis. However, in contrast to...

Persistent link: https://www.econbiz.de/10008865963

Herding in financial markets: Bridging the gap between theory and evidence

Boortz, Christopher; Jurkatis, Simon; Kremer, Stephanie; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

Due to data limitations and the absence of testable, model-based predictions, theory and evidence on herd behavior are only loosely connected. This paper attempts to close this gap in the herding literature. From a theoretical perspective, we use numerical simulations of a herd model to derive...

Persistent link: https://www.econbiz.de/10010685894

Hidden Liquidity: Determinants and Impact

Cebiroglu, Gökhan; Horst, Ulrich - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock’s hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...

Persistent link: https://www.econbiz.de/10009652363

Jurkatis, Simon; Kremer, Stephanie; Nautz, Dieter - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

Herd behavior is often viewed as a signicant threat for the stability and eciency of nancial markets. This paper sheds new light on the relevance of herd behavior for observed correlation of trades. We introduce numerical simulations of a herd model to derive theory-guided predictions regarding...

Persistent link: https://www.econbiz.de/10010549030