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Collateral-Enhanced Default Risk
Kenyon, Chris - 2013
Changes in collateralization have been implicated in significant default (or near-default) events during the financial crisis, most notably with AIG. We have developed a framework for quantifying this effect based on moving between Merton-type and Black-Cox-type structural default models. Our...
Persistent link: https://www.econbiz.de/10013087656
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Trading risk and volatility in interest rate swap spreads
Kambhu, John (contributor) - 2004 - [Elektronische Ressource]
This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this relationship in the behavior of interest rate swap spreads and in the volume and interest rates of repurchase contracts. Specifically, we focus on convergence trading, in which...
Persistent link: https://www.econbiz.de/10001936329
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How Do Voluntary Disclosures on Climate Risk and Their Tone Affect CDS Premiums?
Imerman, Michael B.; Ye, Xiaoxia; Zhao, Ran - 2022
We examine the effect of voluntary climate risk disclosure on Credit Default Swap (CDS) premiums. We develop a structural credit risk model, in which climate-related disclosures serve as an information source reducing uncertainty about climate risks. The model predicts a negative relation...
Persistent link: https://www.econbiz.de/10013404223
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The effects of uncertainty on market liquidity : evidence from hurricane Sandy
Rehse, Dominik; Riordan, Ryan; Rottke, Nico; Zietz, Joachim - 2018
We test the effects of uncertainty on market liquidity using Hurricane Sandy as a natural experiment. Given the …
Persistent link: https://www.econbiz.de/10011844658
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Macroeconomic Uncertainty and Predictability of Real Estate Returns : The Impact of Asset Liquidity
Nayar, Nandkumar; Price, S. McKay; Shen, Ke - 2023
commercial real estate setting, where (il)liquidity is a defining characteristic of the asset class. Empirical tests confirm the … estate asset returns, and pro-cyclical liquidity variation in private real estate markets …
Persistent link: https://www.econbiz.de/10014350917
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Uncertainty Elasticity of Liquidity and Expected Stock Returns in China
Sun, Ping-Wen - 2015
We examine the uncertainty elasticity of liquidity (UEL: percentage change in the individual stock's liquidity given … for the liquidity risk. Finally, on average, stocks' UEL is higher when the stock market return is lower …
Persistent link: https://www.econbiz.de/10013030699
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Amplification of Uncertainty in Illiquid Markets
Albagli, Elias - 2011
This paper argues that the capacity of financial markets to aggregate dispersed information about economic conditions is diminished in times of distress, resulting in countercyclical uncertainty. Building on a rational expectations equilibrium dynamic environment, I model informed traders as...
Persistent link: https://www.econbiz.de/10013128328
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The Effect of Information Quality on Liquidity Risk
Ng, Jeffrey - 2013
I investigate whether information quality affects the cost of equity capital through liquidity risk. Liquidity risk is … the sensitivity of stock returns to unexpected changes in market liquidity; recent asset pricing literature has emphasized … the importance of this systematic risk. I find that higher information quality is associated with lower liquidity risk and …
Persistent link: https://www.econbiz.de/10013093674
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The overnight drift
Boyarchenko, Nina; Larsen, Lars C.; Whelan, Paul - 2021 - Revised September 2021
We show that nearly 100 percent of the U.S. equity premium is earned over a window around the opening hours of European markets when U.S. cash markets are closed. We explore two potential complementary explanations. First, consistent with predictions from dealer inventory risk models, we find...
Persistent link: https://www.econbiz.de/10012170744
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Analyst Optimism and Incentives under Market Uncertainty
Chang, Jin Woo - 2017
We examine how analysts' changing incentives driven by changes in market uncertainty affect analyst output, under a simple utility-maximizing framework. Analysts issue more optimistically biased forecasts and buy recommendations under high market uncertainty (VIX). The lower reputational costs...
Persistent link: https://www.econbiz.de/10012970931