collateralization, by exposing entities to daily mark-to-market volatility, enhance default probability. This quantifies the well …, whilst removing credit risk transmission, systematically increase default risk …

-factor asset pricing model which critically relies on the bankruptcy risk factor of Neumann (2021b) produces REIT portfolios which …

The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size … premiums are associated with higher risk. The study then employs Auto-regressive distributed lag and Error Correction Modeling … to establish the long/short-run impact of financial distress and liquidity crisis on these premiums during recessionary …

increases the default risk of firms facing an immediate liquidity shortfall. We find that the COVID-19 shock significantly … different levels of debt rollover risk. We use the COVID-19 crisis as a quasi-natural experiment of adverse cash flow shock that … increased the CDS spread and decreased the shareholder value for firms facing higher debt rollover risk. The effect is stronger …

We study the endogenous determination of corporate debt maturity in a setting with default risk. We assume that firms … projects with positive but small net present value, firms may be forced to default in the first phase. We call this liquidity … risk. The technology is such that earnings can switch to a higher (but riskier) level. In this second phase firms have …

expected equity return, an increase in default risk induced by changing asset volatility can have a negative impact on the …In an equilibrium Black and Scholes (1973) economy, a firm's default risk and its expected equity return are non … changes in default risk induced by expected profitability and leverage effects correlate positively with changes in the …