firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn … higher return than big firms only if they have higher default risk and value stocks earn higher returns than growth stocks if … their default risk is high. In this paper we use a more advanced compound option pricing model for the computation of …

strategic shareholder actions, traditional risk factors, characteristics, or mispricing, but, instead, is consistent with a risk …-shifting hypothesis. Consistent with the risk-shifting hypothesis, we find that distressed firms tend to overinvest, destroy value, and … cases where CEOs receive above-average equity-based compensation. As default risk rises, credit spreads rise, equity betas …

Musings on liquidity -- Financial crises and liquidity traffic jams -- Market structures and institutional arrangements … of trading -- Asset pricing and liquidity models -- Stories of liquidity and credit -- Financial regulation and liquidity … risk management …

relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …. We define the concept of ‘Liquidity at Risk', which quantifies the liquidity resources required for a financial …. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which …