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The impact of CDS trading on the bond market: Evidence from Asia
Shim, Ilhyock; Zhu, Haibin - In: Journal of Banking & Finance 40 (2014) C, pp. 460-475
This paper investigates the impact of CDS trading on the development of the bond market in Asia. In general, CDS … trading has lowered the cost of issuing bonds and enhanced the liquidity in the bond market. The positive impact is stronger … indices faced higher bond yield spreads than those not included. …
Persistent link: https://www.econbiz.de/10010738302
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Internal liquidity risk, financial bullwhip effects, and corporate bond yield spreads: Supply chain perspectives
Chen, Tsung-Kang; Liao, Hsien-Hsing; Kuo, Hui-Ju - In: Journal of Banking & Finance 37 (2013) 7, pp. 2434-2456
This study explores internal liquidity risk (ILR) and financial bullwhip effects on corporate bond yield spreads along … suppliers and customers positively affect a firm’s bond yield spreads and the effects of customers’ ILRs are greater. This …
Persistent link: https://www.econbiz.de/10010666261
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Overreaction of country ETFs to US market returns: Intraday vs. daily horizons and the role of synchronized trading
Levy, Ariel; Lieberman, Offer - In: Journal of Banking & Finance 37 (2013) 5, pp. 1412-1421
In this paper we study the intraday price formation process of country Exchange Traded Funds (ETFs). We identify specific parts of the US trading day during which Net Asset Values (NAVs), currency rates, premiums and discounts, and the S&P 500 index have special effects on ETF prices, and...
Persistent link: https://www.econbiz.de/10010741762
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Non-marketability and the value of employee stock options
Abudy, Menachem; Benninga, Simon - In: Journal of Banking & Finance 37 (2013) 12, pp. 5500-5510
We adapt the Benninga et al. (2005) framework to value employee stock options (ESOs). The model quantifies non-diversification effects, is computationally simple, and provides an endogenous explanation of ESO early-exercise. Using a proprietary dataset of ESO exercise events we measure the...
Persistent link: https://www.econbiz.de/10010709462
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Integrating corporate ownership and pension fund structures: A general equilibrium approach
Ebrahim, M. Shahid; Mathur, Ike; ap Gwilym, Rhys - In: Journal of Banking & Finance 49 (2014) C, pp. 553-569
This paper studies pension fund design in the context of investment in the debt and equity of a firm. We employ a general equilibrium framework to demonstrate that: (i) the asset location ‘puzzle’ is purely a partial equilibrium phenomenon, conceived in a risk neutral setting, that...
Persistent link: https://www.econbiz.de/10011118081
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Credit spreads with dynamic debt
Das, Sanjiv R.; Kim, Seoyoung - In: Journal of Banking & Finance 50 (2015) C, pp. 121-140
This paper extends the baseline Merton (1974) structural default model, which is intended for static debt spreads, to a setting with dynamic debt, where leverage can be ratcheted up as well as written down through pre-specified exogenous policies. We provide a different and novel solution...
Persistent link: https://www.econbiz.de/10011118126
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Close form pricing formulas for Coupon Cancellable CoCos
Corcuera, José Manuel; De Spiegeleer, Jan; Fajardo, José - In: Journal of Banking & Finance 42 (2014) C, pp. 339-351
Contingent Convertibles (“CoCos”) are contingent capital instruments which convert into shares, or have a principal write down, if a trigger event takes place. CoCos exhibit the undesirable so-called death-spiral effect: by actively hedging the equity risk, investors can (unintentionally)...
Persistent link: https://www.econbiz.de/10011065581
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Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?
Georgoutsos, Dimitris A.; Migiakis, Petros M. - In: Journal of Banking & Finance 37 (2013) 11, pp. 4650-4664
In this paper, we assess the movements of euro area sovereign bond yield spreads vis-à-vis the German Bund as processes …
Persistent link: https://www.econbiz.de/10011065635
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Why do firms issue private equity repeatedly? On the motives and information content of multiple PIPE offerings
Floros, Ioannis V.; Sapp, Travis R.A. - In: Journal of Banking & Finance 36 (2012) 12, pp. 3469-3481
This study examines why private equity issues tend to be a repeated source of financing for public firms. We test the recent operational needs theory of public equity issuance within the context of repeated private equity issues. We find that repeated PIPE issuers burn through cash quickly and...
Persistent link: https://www.econbiz.de/10011065656
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Is bank default risk systematic?
Fiordelisi, Franco; Marqués-Ibañez, David - In: Journal of Banking & Finance 37 (2013) 6, pp. 2000-2010
We evaluate the impact of commonly used indicators of bank distress on broad (i.e. sector and country) risks. This issue deserves special attention in the banking industry where there is a strong degree of interconnectedness among institutions and the default of a single bank may cause a...
Persistent link: https://www.econbiz.de/10011065715