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Abandon ship : inside debt and risk-taking incentives in bad times
Cambrea, Domenico Rocco; Colonnello, Stefano; Curatola, … - 2016 - This draft: December 13, 2016
We develop a model that endogenizes the manager's choice of firm risk and of inside debt investment strategy. Our model delivers two predictions. First, managers have an incentive to reduce the correlation between inside debt and company stock in bad times. Second, managers that reduce such a...
Persistent link: https://www.econbiz.de/10011572771
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How has sovereign bond market liquidity changed? : an illiquidity spillover analysis
Schneider, Michael; Lillo, Fabrizio; Pelizzon, Loriana - 2016
, concerns about the market liquidity of the Eurozone sovereign debt markets have been raised. We aim to quantify illiquidity … risks, especially such related to liquidity dry-ups, and illiquidity spillover across maturities by examining the reaction … processes. We find that: a) market liquidity is more fragile and less predictable when an asset is very illiquid and, b) the …
Persistent link: https://www.econbiz.de/10011552483
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Exit strategies
Angeloni, Ignazio; Faia, Ester; Winkler, Roland - 2014 - First draft: August 2010. This draft: April 2014
We study alternative scenarios for exiting the post-crisis fiscal and monetary accommodation using a macromodel where banks choose their capital structure and are subject to runs. Under a Taylor rule, the post-crisis interest rate hits the zero lower bound (ZLB) and remains there for several...
Persistent link: https://www.econbiz.de/10010354007
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Sovereign credit risk, liquidity, and ECB intervention : deus ex machina?
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2015 - First draft: September 2013, This draft: March 2015
This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …
Persistent link: https://www.econbiz.de/10010503289
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Central bank-driven mispricing
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: October 2018
: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …
Persistent link: https://www.econbiz.de/10012062155
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Central bank-driven mispricing
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: August 2018
: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …
Persistent link: https://www.econbiz.de/10011892699
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Much ado about nothing : a study of differential pricing and liquidity of short and long term bonds
Driessen, Joost; Nijman, Theodore E.; Simon, Zorka - 2018
, flight-to-safety or liquidity premiums? Using data on German nominal bonds between 2005 and 2015, we study the differential … pricing and liquidity of short and long maturity bonds. We find statistically significant, but economically negligible … segmentation in yields and some degree of liquidity segmentation of short-term versus long-term bonds. These results have important …
Persistent link: https://www.econbiz.de/10011940016
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Evaluating the effectiveness of policies against a pandemic
Alemán, Christian; Busch, Christopher; Ludwig, Alexander; … - 2020
We develop a novel empirical approach to identify the effectiveness of policies against a pandemic. The essence of our approach is the insight that epidemic dynamics are best tracked over stages, rather than over time. We use a normalization procedure that makes the pre-policy paths of the...
Persistent link: https://www.econbiz.de/10012312986
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Performance benefits of tight control
Gill, Andrej; Visnjic, Nikolai - 2013
This study investigates the transition from being a listed company with a dispersed ownership structure to being a privately held company with a concentrated ownership structure. We consider a sample of private equity backed portfolio companies to evaluate the consequences of the corporate...
Persistent link: https://www.econbiz.de/10010225758
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Does say on pay matter? : evidence from the German natural experiment
Troeger, Tobias H.; Walz, Uwe - 2016
This paper investigates the potential implications of say on pay on management remuneration in Germany. We try to shed light on some key aspects by presenting quantitative data that allows us to gauge the pertinent effects of the German natural experiment that originates with the 2009 amendments...
Persistent link: https://www.econbiz.de/10011436065