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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
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The Catastrophic Effects of Natural Disasters on Insurance Markets
Viscusi, W. Kip - 2012
Natural catastrophes often have catastrophic risks on insurance companies as well as on the insured. Using a very large dataset on homeowners%u2019 insurance coverage by state, by firm, and by year for the 1984 to 2004 period, this paper documents the positive effect on losses and loss ratios of...
Persistent link: https://www.econbiz.de/10012755507
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Liquidity and Expected Returns : Lessons from Emerging Markets
Bekaert, Geert - 2012
Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting … to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion … of zero daily firm returns, averaged over the month. We find that our liquidity measures significantly predict future …
Persistent link: https://www.econbiz.de/10012755671
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Liquidity and Market Structure
Grossman, Sanford J. - 2012
Market liquidity is modeled as being determined by the demand and supply of immediacy. Exogenous liquidity events … liquidity in the market. The lower is the autocorrelation in rates of return, the higher is the equilibrium level of liquidity …
Persistent link: https://www.econbiz.de/10012755997
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How the Subprime Crisis Went Global : Evidence from Bank Credit Default Swap Spreads
Eichengreen, Barry - 2010
How did the Subprime Crisis, a problem in a small corner of U.S. financial markets, affect the entire global banking system? To shed light on this question we use principal components analysis to identify common factors in the movement of banks' credit default swap spreads. We find that fortunes...
Persistent link: https://www.econbiz.de/10012757524
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Wall Street's First Corporate Governance Crisis : The Panic of 1826
Hilt, Eric - 2010
In July of 1826, several prominent Wall Street firms abruptly went bankrupt, amid scandalous revelations of fraudulent financial practices by their management. Although mostly forgotten today, these events represented a watershed in the early development of the corporation laws and investor...
Persistent link: https://www.econbiz.de/10012757536
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Outside and Inside Liquidity
Bolton, Patrick - 2010
We consider a model of liquidity demand arising from a possible maturity mismatch between asset revenues and … consumption. This liquidity demand can be met with either cash reserves (inside liquidity) or via asset sales for cash (outside … liquidity). The question we address is, what determines the mix of inside and outside liquidity in equilibrium? An important …
Persistent link: https://www.econbiz.de/10012757585
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Bankruptcy : Past Puzzles, Recent Reforms, and the Mortgage Crisis
White, Michelle J. - 2010
This paper discusses four bankruptcy-related policy issues. First, what is the economic rationale for having a bankruptcy procedure at all and what defines an economically efficient bankruptcy procedure? Second, why did the number of U.S. bankruptcy filings increase so dramatically between 1980...
Persistent link: https://www.econbiz.de/10012758032
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Deciphering the Liquidity and Credit Crunch 2007-08
Brunnermeier, Markus K. - 2010
This paper summarizes and explains the main events of the liquidity and credit crunch in 2007-08. Starting with the …
Persistent link: https://www.econbiz.de/10012758056
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Tracing the Woes : An Empirical Analysis of the Airline Industry
Berry, Steven - 2010
The U.S. airline industry went through tremendous turmoil in the early 2000's. There were four major bankruptcies and two major mergers, with all legacy carriers reporting a large profit reduction. This paper presents a structural model of the airline industry, and estimates the impact of demand...
Persistent link: https://www.econbiz.de/10012758133