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Debt market illiquidity and correlated default risk

Javadi, Siamak; Mollagholamali, Mohsen - In: Finance research letters 26 (2018), pp. 266-273

Persistent link: https://www.econbiz.de/10012005695

The reward for trading illiquid maturities in credit default swap markets

Arakelyan, Armen; Rubio, Gonzalo; Serrano, Pedro - In: International review of economics & finance : IREF 39 (2015), pp. 376-389

Persistent link: https://www.econbiz.de/10011572470

Stock liquidity and default risk around the world

Nadarajah, Sivathaasan - 2020

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 …

Persistent link: https://www.econbiz.de/10012854783

Can the COVID Bailouts Save the Economy?

Elenev, Vadim - 2020

The covid-19 crisis has led to a sharp deterioration in firm and bank balance sheets. The government has responded with a massive intervention in corporate credit markets. We study equilibrium dynamics of macroeconomic quantities and prices, and how they are affected by government policy. The...

Persistent link: https://www.econbiz.de/10012835030

Credit Default Swaps in General Equilibrium : Endogenous Default and Credit Spread Spillovers

Darst, Matthew - 2018

This paper shows that credit default swaps (CDS) can affect the type of debt firms issue. Firms face a trade-off between investment scale and the cost of capital measured by the credit spread. Small-scale investment is safe, fully collateralized, but earns modest profits in all states....

Persistent link: https://www.econbiz.de/10012938470

When is there a strong transfer risk from the sovereigns to the corporates?

Bai, Jennie; Wei, Shang-jin - 2012

When a sovereign faces the risk of debt default, it may be tempted to expropriate the private sector. This may be one reason why international investment in private companies has to take into account the sovereign risk. But the likelihood of sovereign risk transferring to corporates and...

Persistent link: https://www.econbiz.de/10009657607

Intra-industry Spill-Over : Evidence from Chinese Bond Default

Hu, Xiaolu - 2019

We investigate the intra-industry spill-over effect of bond defaults on the price of stocks, outstanding bonds and new bond issuances in China, the largest emerging debt market. We use a sample of A-shares and public corporate debt securities from 2006 to 2018. In the stock market, we find...

Persistent link: https://www.econbiz.de/10012858977

When is There a Strong Transfer Risk from the Sovereigns to the Corporates? -- Property Rights Gaps and CDS Spreads

Bai, Jennie - 2018

When a sovereign faces the risk of debt default, it attempts to expropriate the private sector. But the likelihood of a transfer from the sovereign risk to corporate default risk can be mitigated by legal institutions that provide strong property rights protection. Using a novel credit default...

Persistent link: https://www.econbiz.de/10012938072

Liquidity and default in an exchange economy

Martínez S., Juan Francisco; Tsomocos, Dimitrios P. - In: Journal of financial stability 35 (2018), pp. 192-214

Persistent link: https://www.econbiz.de/10012156867

Stock liquidity and default risk

Brogaard, Jonathan; Li, Dan; Xia, Ying - In: Journal of financial economics 124 (2017) 3, pp. 486-502

Persistent link: https://www.econbiz.de/10011751480

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