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An empirical study on the decoupling movements between corporate bond and CDS spreads
Alexopoulou, Ioana; Andersson, Magnus; Georgescu, Oana Maria - 2009
factors and liquidity. Our analysis confirms the existence of a long-run relationship between the two markets, and the … CDS markets becoming more sensitive to systematic risk while cash bond markets priced in more information about liquidity …
Persistent link: https://www.econbiz.de/10011605131
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Sovereign credit risk and stock markets : does the markets’ dependency increase with financial Distress?
Silva, Paulo Pereira da - In: International Journal of Financial Studies : open … 2 (2014) 1, pp. 145-167
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 credit quality of sovereign debt. The analysis of...
Persistent link: https://www.econbiz.de/10010373349
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The impact of credit rating announcements on corporates' credit default swap spreads : are there intra-industry effects observable?
Burghof, Hans-Peter; Schneider, Johannes; Wengner, Andreas - 2012
This study examines the impact of credit rating announcements from the three leading credit rating agencies (Moody's, S&P, Fitch)on the Credit Default Swap Spreads of corporates and their spillover effects within industries. We find, that both downgrades and upgrades have an impact on the CDS...
Persistent link: https://www.econbiz.de/10012822376
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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
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Bankruptcy in groups
Beaver, William H.; Cascino, Stefano; Correia, Maria M.; … - 2016
We examine bankruptcy within business groups. Groups have incentives to support financially distressed subsidiaries as the bankruptcy of a subsidiary may impose severe costs on the group as a whole. In several countries around the world, bankruptcy courts often “pierce the corporate veil”...
Persistent link: https://www.econbiz.de/10011862312
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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
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Capital constraints, counterparty risk, and deviations from covered interest rate parity
Coffey, Niall; Hrung, Warren B.; Sarkar, Asani - 2009 - Rev.
reduce the funding liquidity risk of global institutions. -- Covered interest rate parity ; funding constraints …
Persistent link: https://www.econbiz.de/10003947651
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An empirical study on the decoupling movements between corporate bond and CDS spreads
Alexopoulou, Ioana; Andersson, Magnus; Georgescu, Oana Maria - 2009
factors and liquidity. Our analysis confirms the existence of a long-run relationship between the two markets, and the … CDS markets becoming more sensitive to systematic risk while cash bond markets priced in more information about liquidity …. -- Credit Default Swap Spreads ; Corporate Bond Spreads ; Liquidity …
Persistent link: https://www.econbiz.de/10003963752
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Foreign acquisition and credit risk : evidence from the U.S. CDS market
Yilmaz, Umit - 2016 - This draft: May 31, 2016
This paper empirically analyses the effect of foreign block acquisitions on the U.S. target firms' credit risk as captured by their CDS. The involvement of foreign investors leads to a significant increase in the target firms' CDS spreads. This effect is stronger when foreign owners are...
Persistent link: https://www.econbiz.de/10011519062
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Tail dependence of financial stocks and CDS markets : evidence using copula methods and simulation-based inference
Silva, Paulo Pereira da; Rebelo, Paulo Tomaz; Afonso, … - 2014
Using copula methods and simulation-based inference, the authors investigate the association between the performance of a stock index formed by European financial institutions and a basket of CDS contracts of the same sector. Their analysis focuses on (i) assessing the dependence structure of...
Persistent link: https://www.econbiz.de/10010429997