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Liquidity, Distress Risk and Asset Pricing Implications

Zou, Qiqi - 2016

measure that captures company distress levels more accurately. It is found that liquidity, proxied by a trading noise …-to-default measures. When our new liability and liquidity adjusted measure is used, a clearer picture of distress premium emerges. Our …

Persistent link: https://www.econbiz.de/10012990993

Cash Holding, Rollover Risk and M&A

Chen, Zhiyao; Hackbarth, Dirk; Harford, Jarrad; Luo, Yuxin - 2022

We develop a unified framework to connect cash holding, debt maturity and mergers and acquisitions. We provide empirical support for four internally consistent predictions: i) equity and debt values of highly distressed firms are more sensitive to cash reserve than those of healthy firms; ii)...

Persistent link: https://www.econbiz.de/10014236147

The Effect of Rollover Risk on Default Risk : Evidence from Bank Financing

Chiu, Wan-Chien - 2015

We study the effect of rollover risk on the risk of default using a comprehensive database of U.S. industrial firms during 1986–2013 This article is the most thoroughgoing empirical research to date to support the existence of a rollover risk effect on the risk of default. A one standard...

Persistent link: https://www.econbiz.de/10013033588

The Effect of Rollover Risk on Default Risk : Evidence from Bank Financing

Chiu, Wan-Chien - 2015

This empirical examination of the effect of rollover risk on default risk uses a database of U.S. industrial firms during 1986-2011. This article represents the most comprehensive empirical study to date to support the existence of a rollover risk effect on default risk. This paper investigates...

Persistent link: https://www.econbiz.de/10013028447

Borrowing Base Revolvers : Liquidity for Risky Firms

Flannery, Mark J. - 2011

How do risky firms with low cash flow finance their liquidity needs? This paper investigates a relatively common, but …

Persistent link: https://www.econbiz.de/10013131436

The discount to NAV of distressed open-end real estate funds

Schnejdar, Sebastian; Heinrich, Michael; Woltering, … - In: The journal of real estate finance and economics 61 (2020) 1, pp. 80-114

Persistent link: https://www.econbiz.de/10012226718

Time-Varying Risk Premia for Size Effects on Equity REITs

Chang, Guangdi - 2013

We examine if the risk premia of the size effect on equity REITs (EREITs) are time-varying by using GARCH models. We also investigate how macroeconomic factors affect the size premia. We reexamine the size effect by using Fama-French three-factor model to demonstrate that the size effect exists...

Persistent link: https://www.econbiz.de/10013084485

Macroeconomic uncertainty and predictability of real estate returns : the impact of asset liquidity

Nayar, Nandkumar; Price, S. McKay; Shen, Ke - In: Journal of real estate research : JRER ; a publication … 46 (2024) 1, pp. 82-113

Persistent link: https://www.econbiz.de/10014582191

The role of financial conditions in portfolio choices : the case of insurers

Ge, Shan; Weisbach, Michael S. - 2019

Many institutional investors depend on the returns they generate to fund their operations and liabilities. How do these investors' financial conditions affect the management of their portfolios? We address this issue using the insurance industry because insurers are large investors for which...

Persistent link: https://www.econbiz.de/10012104637

Aggregate risk and efficiency of mutual funds

Kucinskas, Simas - 2015

: undiversifiable interest rate risk and shocks to aggregate liquidity demand. Mutual funds are inefficient when the economy faces … undiversifiable interest rate risk. However, if only aggregate liquidity demand is stochastic, mutual funds can implement the social … optimum even when liquidity demand is not directly observed. …

Persistent link: https://www.econbiz.de/10011339154

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