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Liquidity Risk of Corporate Bond Returns : A Conditional Approach
Acharya, Viral V. - 2010
We study the exposure of the US corporate bond returns to liquidity shocks of stocks and Treasury bonds over the period … 1973 - 2007 in a regime - switching model. In one regime, liquidity shocks have mostly insignificant effects on bond prices … default), suggest the existence of time-varying liquidity risk of corporate bond returns conditional on episodes of flight to …
Persistent link: https://www.econbiz.de/10013137766
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Asset Liquidity and International Portfolio Choice
Geromichalos, Athanasios - 2011
over faster than domestic assets because the former have desirable liquidity properties, but represent inferior saving …
Persistent link: https://www.econbiz.de/10013121055
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Cash Holdings and Credit Risk
Acharya, Viral V. - 2011
liquidity may be related positively to the longer-term probability of default. Our empirical analysis confirms these predictions …
Persistent link: https://www.econbiz.de/10013125920
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Rollover Risk and Market Freezes
Acharya, Viral V. - 2010
The crisis of 2007-09 has been characterized by a sudden freeze in the market for short-term, secured borrowing. We present a model that can explain a sudden collapse in the amount that can be borrowed against finitely-lived assets with little credit risk. The borrowing in this model takes the...
Persistent link: https://www.econbiz.de/10013148660
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Creditor Rights and Corporate Risk-Taking
Acharya, Viral V. - 2010
We analyze the link between creditor rights and firms' investment policies, proposing that stronger creditor rights in bankruptcy reduce corporate risk-taking. In cross-country analysis, we find that stronger creditor rights induce greater propensity of firms to engage in diversifying...
Persistent link: https://www.econbiz.de/10013149976
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Are Banks Passive Liquidity Backstops? Deposit Rates and Flows During the 2007-2009 Crisis
Acharya, Viral V. - 2012
Can banks maintain their advantage as liquidity providers when they are heavily exposed to a financial crisis? The … liquidity insurer is not one of the passive recipient, but of an active seeker, of deposits. We find that banks facing a funding … liquidity demand shocks (as measured by their unused commitments, wholesale funding dependence, and limited liquid assets), as …
Persistent link: https://www.econbiz.de/10013110924