We analyze whether information asymmetry between issuers and investors leads to rating model arbitrage in Collateralized Debt Obligation markets. Rating model arbitrage is defined as the issuer's deliberate capitalization of information asymmetry at the investor's cost on the basis of different...

We study retail deposit withdrawals from European commercial banks which incurred investment losses in the wake of the U.S. subprime crisis. We document a strong propensity of households to withdraw deposits from distressed banks, especially when a bank receives a public bailout. However, the...

Based on an empirical analysis of European corporations, we investigate the impact of sovereign risk on the pricing of corporate credit risk. In our paper, we show that sovereign credit default swaps (CDS) are positively correlated with corresponding corporate CDS spreads and are a significant...

We empirically investigate why issuers solicit and pay for multiple ratings not only at issuance but also during the monitoring phase of a debt instrument. Using a unique record of monthly credit rating migration data from Standard & Poor's, Moody's, and Fitch on all U.S. residential...

In this paper, we analyze the potential influence of top executives on the performance of US real estate investment trusts by using a dataset of 101 listed US REITs for the period 2003 through 2007. In doing so, a broad range of company variables such as balance sheet data as well as personal...

This paper studies the impact of CEO discretion within the incentive structure of U.S. REITs. In contrast to the existing governance literature we focus on a specific sector with a specific legal setting (e.g., restrictive payout ratios), and organizational structure (e.g., little threat of a...

To answer the question what causes an asset to be illiquid, we analyze the impact that transparency of corporate accounting information has on the liquidity of its traded bonds. In particular, we focus on how this relationship depends on aggregate liquidity and the financial state of the firm....

In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the state of financial markets (tranquil, normal, and volatile). Within a system...