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 …

We document the negative effect of stock liquidity on default risk for a sample of 46 countries. We further find that … shock that increases liquidity. The effect of liquidity on default risk is more pronounced in countries with poorer investor … impact of stock liquidity on default risk in international markets …

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 factor for corporate CDS pricing models. We also find that this impact …

This paper addresses the relationship between stock markets and credit default swaps (CDS) markets. In particular, I … aim to gauge if the co-movement between stock prices and sovereign CDS spreads increases with the deterioration of the …

CDS market. We develop a cash flow based top-down approach for modeling CDSs from which we can derive the following major … contributions: (I) Correlated defaults did not matter for CDS prices prior to the financial crisis in 2008. During and after the … correlated defaults primarily impact the CDS prices of firms with an overall low CDS level. (III) Idiosyncratic risk factors for …

CDS market. We develop a cash flow based top-down approach for modeling CDSs from which we can derive the following major … contributions: (I) Correlated defaults did not matter for CDS prices prior to the financial crisis in 2008. During and after the … correlated defaults primarily impact the CDS prices of firms with an overall low CDS level. (III) Idiosyncratic risk factors for …

This paper highlights two new effects of credit default swap markets (CDS) in a general equilibrium setting. First … those that are not CDS reference entities. Second, when firms internalize the credit spread changes, the incentive to issue …

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 …

increases as trade size increases. We also identify a few liquidity trends: measures like average daily volumes, average price …

abnormal equity returns and increases in CDS spreads. In addition, creditors are more likely to suffer from financial distress …