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Liquidity risk and yield spreads of green bonds
Wulandari, Febi; Schäfer, Dorothea; Stephan, Andreas; … - 2018
This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond …-specific characteristics and macroeconomic variables. Using two liquidity estimates, LOT liquidity and the bid-ask spread, we find that, in … particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of …
Persistent link: https://www.econbiz.de/10011810163
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The impact of liquidity risk on the yield spread of green bonds
Febi, Wulandari; Schäfer, Dorothea; Stephan, Andreas; … - In: Finance research letters 27 (2018), pp. 53-59
Persistent link: https://www.econbiz.de/10012006738
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Rating-Agenturen: fehlbar und überfordert
Kotz, Hans-Helmut; Schäfer, Dorothea - In: Vierteljahrshefte zur Wirtschaftsforschung 82 (2013) 4, pp. 135-162
Seit der zweiten Hälfte der 1990er gab es drei gravierende Finanzkrisen, jeweils mit einer erheblichen Beteiligung der Rating-Agenturen (RAs). Im Lichte der erzielten Ergebnisse entsprechen RAs nicht ihren Leistungsversprechen. Sie erweisen sich als fehlbar und überfordert. Das ist angesichts...
Persistent link: https://www.econbiz.de/10011282554
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Rating-Agenturen: fehlbar und überfordert
Kotz, Hans-Helmut; Schäfer, Dorothea - In: Vierteljahrshefte zur Wirtschaftsforschung / Quarterly … 82 (2013) 4, pp. 135-162
Since the second half of the 1990s, three major financial crises occurred, each with a significant involvement of rating agencies (RAs). Their rather poor performance palpably shows that they did not live up to their promises. RAs have proven to be fallible and overburdened. Given the task to...
Persistent link: https://www.econbiz.de/10011277332
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Rating-Agenturen : fehlbar und überfordert
Kotz, Hans-Helmut; Schäfer, Dorothea - In: Vierteljahrshefte zur Wirtschaftsforschung 82 (2013) 4, pp. 135-162
Seit der zweiten Hälfte der 1990er gab es drei gravierende Finanzkrisen, jeweils mit einer erheblichen Beteiligung der Rating-Agenturen (RAs). Im Lichte der erzielten Ergebnisse entsprechen RAs nicht ihren Leistungsversprechen. Sie erweisen sich als fehlbar und überfordert. Das ist angesichts...
Persistent link: https://www.econbiz.de/10011289571
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Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises
Baum, Christopher; Schäfer, Dorothea; Stephan, Andreas; … - Department of Economics, Boston College - 2013
This paper studies the impact of credit rating agency (CRA) downgrade announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA...
Persistent link: https://www.econbiz.de/10011019862
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Credit rating agency downgrades and the Eurozone sovereign debt crises
Baum, Christopher F; Karpava, Margarita; Schäfer, Dorothea - Narodowy Bank Polski - 2014
This paper studies of credit rating agency (CRA) downgrade announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA downgrade...
Persistent link: https://www.econbiz.de/10010793619
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Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crises
Baum, Christopher; Karpava, Margarita; Schäfer, Dorothea; … - Ratioinstitutet - 2013
This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011–2012. The employed GARCH models show that CRA downgrade...
Persistent link: https://www.econbiz.de/10010704425
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Credit rating agency announcements and the eurozone sovereign debt crisis
Baum, Christopher F.; Karpava, Margarita; Schäfer, Dorothea - 2013
This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA downgrade...
Persistent link: https://www.econbiz.de/10010327254
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Credit rating agency announcements and the eurozone sovereign debt crisis
Baum, Christopher F.; Karpava, Margarita; Schäfer, Dorothea - 2013
This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA downgrade...
Persistent link: https://www.econbiz.de/10010206145