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The Liquidity of Credit Default Index Swap Networks
Haynes, Richard - 2019
increases as trade size increases. We also identify a few liquidity trends: measures like average daily volumes, average price …
Persistent link: https://www.econbiz.de/10012871667
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On the Conditional Default Probability in a Regulated Market : A Structural Approach
Bo, Lijun - 2017
In this article, we consider a regulated market and explore the default events. By using a so-called reflected Ornstein-Uhlenbeck process with two-sided barriers to formulate the price dynamics, we derive the expression on the conditional default probability. In the cases of single observation...
Persistent link: https://www.econbiz.de/10012976564
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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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Debt Rollover Risk, Credit Default Swap Spread and Stock Returns : Evidence from the COVID-19 Crisis
Liu, Ya - 2020
increases the default risk of firms facing an immediate liquidity shortfall. We find that the COVID-19 shock significantly …
Persistent link: https://www.econbiz.de/10012832300
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Collateralized CDS and Default Dependence - Implications for the Central Clearing
Fujii, Masaaki - 2011
In this paper, we have studied the pricing of a continuously collateralized CDS. We have made use of the "survival measure" to derive the pricing formula in a straightforward way. As a result, we have found that there exists irremovable trace of the counter party as well as the investor in the...
Persistent link: https://www.econbiz.de/10013127295
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Does Fear Spur Default Risk?
Thakerngkiat, Narongdech; Nguyen, Harvey; Nguyen, Nhut H.; … - 2023
While a large body of research documents various firm characteristics and market conditions that drive corporate default, whether risk aversion matters for default risk remains largely under-investigated. A challenge for prior studies that aim to examine the impact of fear on default risk is...
Persistent link: https://www.econbiz.de/10014258006
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Stock Liquidity and Default Risk
Brogaard, Jonathan - 2019
This paper examines the impact of stock liquidity on firm bankruptcy risk. Using the Securities and Exchange Commission … decimalization regulation as a shock to stock liquidity, we establish that enhanced liquidity decreases default risk. Stocks with the … highest default risk experience the largest improvements. We find two mechanisms through which stock liquidity reduces firm …
Persistent link: https://www.econbiz.de/10012904049
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Stock Liquidity and SMEs’ Likelihood of Bankruptcy : Evidence from the US Market
El Kalak, Izidin - 2018
We study the association between the stock liquidity of SMEs in the US and their likelihood of bankruptcy, using a … substantial heterogeneity across industries regarding the predictive power of the liquidity measure on the likelihood of … performance tests conclude that adding a liquidity measure variable to the Campbell et al. (2008) model improves its predictive …
Persistent link: https://www.econbiz.de/10012930056
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Bond Default Matters in China : Evidence from Illiquidity Premium
Gao, Haoyu; Hao, Dapeng; Jia, Calvin Dun; Qiu, Zhigang - 2022
This paper studies how market-wide credit risk affects the liquidity pricing in the bond market. With the emerging wave … increases the effectiveness of price discovery in China's capital market. As liquidity concern starts to play a nontrivial role …
Persistent link: https://www.econbiz.de/10013406173
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Illiquidity and under-valuation of firms
Gale, Douglas; Gottardi, Piero - 2009
We study a competitive model in which market incompleteness implies that debt-financed firms may default in some states of nature and default may lead to the sale of the firms' assets at fire sale prices when markets are illiquid. This incompleteness is the only friction in the model and the...
Persistent link: https://www.econbiz.de/10003923631