Similar Search Results

Endogenous Liquidity and Defaultable Bonds

He, Zhiguo - 2012

This paper studies the interaction between fundamental and liquidity for defaultable corporate bonds that are traded in … liquidity, which depends on both the firm fundamental and the time-to-maturity of the bond. Corporate default decisions interact … with the endogenous secondary market liquidity via the rollover channel. A default-liquidity loop arises: Earlier …

Persistent link: https://www.econbiz.de/10013100361

Corporate Yield Spreads : Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market

Longstaff, Francis A. - 2004

-market liquidity …

Persistent link: https://www.econbiz.de/10012785748

Option-Based Credit Spreads

Culp, Christopher L. - 2014

We present a novel empirical benchmark for analyzing credit risk using “pseudo firms” that purchase traded assets financed with equity and zero-coupon bonds. By no-arbitrage, pseudo bonds are equivalent to Treasuries minus put options on pseudo-firm assets. Empirically, like corporate...

Persistent link: https://www.econbiz.de/10013039754

Credit Risk in the Euro Area

Gilchrist, Simon - 2014

maturities. The indicators are also constructed at the country level for Germany, France, Italy and Spain. These indicators …

Persistent link: https://www.econbiz.de/10013055501

Dynamic Dispersed Information and the Credit Spread Puzzle

Albagli, Elias - 2014

We develop a dynamic nonlinear, noisy REE model of credit risk pricing under dispersed information that can theoretically and quantitatively account for the credit spread puzzle. The first contribution is a sharp analytical characterization of the dynamic REE equilibrium and its comparative...

Persistent link: https://www.econbiz.de/10013061461

Credit Spreads and Business Cycle Fluctuations

Gilchrist, Simon - 2011

This paper examines the evidence on the relationship between credit spreads and economic activity. Using an extensive data set of prices of outstanding corporate bonds trading in the secondary market, we construct a credit spread index that is--compared with the standard default-risk...

Persistent link: https://www.econbiz.de/10013125576

Quantifying Liquidity and Default Risks of Corporate Bonds Over the Business Cycle

Chen, Hui - 2018

We develop a structural credit risk model to examine how the interactions of liquidity and default risk affect …, our model generates rich links between liquidity risk and default risk. The introduction of macroeconomic risks helps the … model capture realistic time variation in default risk premia and the default-liquidity spiral over the business cycle …

Persistent link: https://www.econbiz.de/10012937688

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

Is Credit Event Risk Priced? Modeling Contagion Via the Updating of Beliefs

Collin-Dufresne, Pierre - 2010

Empirical tests of reduced form models of default attribute a large fraction of observed credit spreads to compensation for jump-to-default risk. However, these models preclude a "contagion-risk'' channel, where the aggregate corporate bond index reacts adversely to a credit event. In this...

Persistent link: https://www.econbiz.de/10013148003

The Term Structure of Returns : Facts and Theory

van Binsbergen, Jules H. - 2015

We summarize and extend the new literature on the term structure of equity. Short-term equity claims, or dividend strips, have on average significantly higher returns than the aggregate stock market. The returns on short-term dividend claims are risky as measured by volatility, but safe as...

Persistent link: https://www.econbiz.de/10013021482