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The minimization of financial losses and cost stemming from the credit recovery process is strictly connected with the time necessary to complete the procedure: in real estate credits, it depends on the liquidity and the efficiency of the enforcement procedures.The paper investigates the...
Persistent link: https://www.econbiz.de/10013155224
We study the determinants of the subprime mortgage loan spread, with a particular focus on funding liquidity and default-liquidity interaction effects. We find that sector-level as well as macro funding liquidity provision affected subprime loan rates, explaining a significant portion of the...
Persistent link: https://www.econbiz.de/10013012971
This paper empirically examines whether additional future xed capital and R&D investmentexpenditures induce rms to accumulate cash reserves while considering therole of market imperfections. Implementing a dynamic framework on a panel of US, UKand German companies, we nd that rms make larger...
Persistent link: https://www.econbiz.de/10009302548
We show in a fairly general setting of a buyer and seller with the same preferences trading two related assets so as to share volatility risk that illiquidity and virtually all impediments to trade cannot be priced. This is because the buying and selling counterparties must both be optimizing....
Persistent link: https://www.econbiz.de/10013001416
Motivated by the modeling of liquidity risk in fund management in a dynamic setting, we propose and investigate a class of time series models with generalized Pareto marginals: the autoregressive generalized Pareto process (ARGP), a modified ARGP (MARGP) and a thresholded ARGP (TARGP). These...
Persistent link: https://www.econbiz.de/10012962501
This paper examines the effects of asset liquidity on innovation investments. We show that firms with high liquid assets tend to invest more in research and development (R&D) and generate a higher number of patents and patent citations, even after controlling for cash holdings, stock liquidity...
Persistent link: https://www.econbiz.de/10012968296
With the help of the US government and committed funding from bank credit lines, the US corporate sector responded to the COVID-19 cash flow shock by issuing long-term debt to increase cash holdings. I use a case study, evidence from recent research and a theoretical model to explain the logic...
Persistent link: https://www.econbiz.de/10013242147
This paper examines the effects of liquidity on the stock and portfolio risk measure by Value at Risk (VaR). Using daily stock returns and firm market capitalization, empirical calculation of VaR that confirmed not yet succeeded to prove pattern of relations between risk and liquidity both...
Persistent link: https://www.econbiz.de/10013125154