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How to Stress Test Benchmark Relative Portfolios
Satchkov, Daniel - 2015
As stress testing becomes more and more widespread as a risk measurement tool of choice, new questions are formulated about its applications to portfolio management. One of the most important ones for fund managers is: ‘How do we analyze results of stress tests for benchmarked portfolios?' We...
Persistent link: https://www.econbiz.de/10013027811
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Reputation is golden : superstar CEOs and trade credit
Quan, Xiaofeng; Xiang, Cheng; Gao, Ru - In: Journal of business finance & accounting : JBFA 51 (2024) 1/2, pp. 631-656
Persistent link: https://www.econbiz.de/10014481233
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Media, Reputational Risk, and Bank Loan Contracting
Becchetti, Leonardo; Hasan, Iftekhar; Manfredonia, Stefano - 2021
This paper investigates how reputational risk arising from traditional and online media coverage of Corporate Social Irresponsibility (CSI) conducts affects the cost of borrowing. It reports that negative media attention has a significant and positive effect on bank loan costs. The result is...
Persistent link: https://www.econbiz.de/10013242489
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Media, Reputational Risk, and Bank Loan Contracting
Becchetti, Leonardo; Manfredonia, Stefano - 2021
This paper investigates how reputational risk arising from traditional and online media coverage of Corporate Social Irresponsibility (CSI) conducts affects the cost of borrowing. It reports that negative media attention has a significant and positive effect on bank loan costs. The result is...
Persistent link: https://www.econbiz.de/10013211843
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Healthy... Distress... Default
Kakushadze, Zura - 2019
We discuss a simple, exactly solvable model of stochastic stock dynamics that incorporates regime switching between healthy and distressed regimes. Using this model, which is analytically tractable, we discuss a way of extracting expected returns for stocks from realized CDS spreads,...
Persistent link: https://www.econbiz.de/10012863946
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Do Former Civil Servants Affect a Firm’s Value and Credit Spreads?
Michelson, Noam - 2022
Earlier studies in the literature of politically connected firms and the “revolving door” of government officials to the private sector focused mostly on politicians and high-ranked civil servants. In this paper I comprehensively survey the transition of all ranks of government officials...
Persistent link: https://www.econbiz.de/10014361365
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Pandemic Exposure, Credit Market Reactions, and Corporate Default Risk
Imerman, Michael B.; Ye, Xiaoxia; Zhao, Ran - 2021
We develop a theoretical model quantifying how firm-level pandemic exposure and sentiment, as informational shocks, affect a firm’s credit spread and default risk. Consistent with model predictions, we find significantly positive impacts on single-name credit default swap (CDS) spreads from...
Persistent link: https://www.econbiz.de/10013225671
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The time-varying impact of systematic risk factors on corporate bond spreads
Klein, Arne Christian; Pliszka, Kamil - 2018
During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...
Persistent link: https://www.econbiz.de/10011855295
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Dynamic Response of Credit Spread to S&P 500 Dividend Yield Shock
Sum, Vichet - 2013
This study investigates the dynamic response of credit spread (CS) to S&P 500 dividend yield (DY) shock. Based on the … following shock to the S&P 500 dividend yield. The results also show that there is a significant causal linkage between CS and … DY. The variance decomposition results indicate that S&P 500 dividend yield forecasts about 2.72%, 5.00% and 7.12% of …
Persistent link: https://www.econbiz.de/10013075051
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Corporate Payout Policy and Credit Risk : Evidence from CDS Markets
Sun, Chengzhu - 2020
. CDS spreads increase substantially in response to announcements of dividend cuts, especially during recessions and among … firms experiencing financial distress. CDS spreads also react more strongly to permanent and less anticipated dividend cuts … spreads react weakly to dividend raises and share repurchases. The results show that the information effect of dividend …
Persistent link: https://www.econbiz.de/10012853756