Narrow search
Showing 1 - 10 of 15,479
Cover Image
Group affiliation and default prediction
Beaver, William H.; Cascino, Stefano; Correia, Maria; … - 2018
Using a large sample of business groups from more than one hundred countries around the world, we show that group information matters for parent and subsidiary default prediction. Group firms may support each other when in financial distress. Potential group support represents an off-balance...
Persistent link: https://www.econbiz.de/10011864989
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Break-even maturity as a guide to financial distress
Ellis, Colin - In: Contemporary economics 8 (2014) 4, pp. 387-396
During the recent crisis, lags in the transmission mechanism of economic shocks, together with monetary and fiscal policy, made it difficult to assess the evolving dynamics of creditworthiness. As such, developments in financial markets became a key guide for investors and policymakers in...
Persistent link: https://www.econbiz.de/10010520881
Cover Image
Sovereign risk and the pricing of corporate credit default swaps
Haerri, Matthias; Morkoetter, Stefan; Westerfeld, Simone - 2014
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...
Persistent link: https://www.econbiz.de/10011343850
Cover Image
Costly External Finance, Liquidity Risk, and Default Risk
Yang, Jun - 2011
I use the 2007-2008 financial crisis to gauge how internal financial resources and external financial constraints mitigate or worsen the impact of the crisis on default risk of US industrial firms. I identify heterogeneity in short-term funding needs at the onset of the crisis by exploiting...
Persistent link: https://www.econbiz.de/10013128496
Cover Image
Value Investing in Credit Markets
Correia, Maria M. - 2012
We outline a parsimonious empirical model to assess the relative usefulness of accounting and equity market based information to explain corporate credit spreads. The primary determinant of corporate credit spreads is the physical default probability. We compare existing accounting-based and...
Persistent link: https://www.econbiz.de/10013114991
Cover Image
Anomalies and Financial Distress
Avramov, Doron - 2012
This paper explores commonalities across asset-pricing anomalies. In particular, we assess implications of financial distress for the profitability of anomaly-based trading strategies. Strategies based on price momentum, earnings momentum, credit risk, dispersion, idiosyncratic volatility, and...
Persistent link: https://www.econbiz.de/10013116183