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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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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