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Private Equity, Buy-Outs and Insolvency Risk

Wilson, Nick - 2011

set comprising the population of over eight million company year observations and 153,000 instances of insolvency covering … formal insolvency proceedings than other firms and how this varies over the economic cycle. Controlling for size, age, sector … and macro-economic conditions (base hazard) we find that private-equity backed buyouts are no more prone to insolvency …

Persistent link: https://www.econbiz.de/10013123344

Derivatives and default risk

Scholz, Sebastian - 2010

Upstream producers that possess market power, sell forwards with a lengthy duration to regional electricity companies (REC). As part of the liberalization of the electricity market, RECs have been privatized and exposed to a possible bankruptcy threat if spot prices have fallen below their...

Persistent link: https://www.econbiz.de/10003951795

Bond Covenants, Bankruptcy Risk, and the Cost of Debt

Mansi, Sattar; Qi, Yaxuan; Wald, John K. - 2021

Are all covenants equally effective at reducing the bondholder-shareholder conflict? Examining the most frequently used bond covenants, we document that four out of 24 restrictions are associated with significantly higher bankruptcy risk. The use of these Default Indicating covenants can be...

Persistent link: https://www.econbiz.de/10013252096

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 default risk declines following the introduction of the Directive on Markets in Financial Instruments (MiFID)—an exogenous shock that increases liquidity. The effect of...

Persistent link: https://www.econbiz.de/10012854783

An Option Theoretic Model for Ultimate Loss-Given-Default with Systematic Recovery Risk and Stochastic Returns on Defaulted Debt

Jacobs, Michael - 2010

In this study we develop a theoretical model for ultimate loss-given default in the Merton (1974) structural credit risk model framework, deriving compound option formulae to model differential seniority of instruments, and incorporating an optimal foreclosure threshold. We consider an extension...

Persistent link: https://www.econbiz.de/10013147946

Post-Merger and Acquisition Performance and Risk Factors : An International Study

Thompson, Ephraim Kwashie - 2020

After the completion of a merger and acquisition (M&A), a number of factors may affect the performance, probability of default and actual delisting of the acquirer. In this paper, we present a simple methodology for identifying risk factors and then proceed to identify and investigate...

Persistent link: https://www.econbiz.de/10012832558

Estimating and Managing Risk Via Shade-Option Pricing

Rombolotti Axelrod, Alessio - 2017

Asset values depend on risk exposures and yet many risk measures don't take this relationship into account. This paper presents a framework for estimating monetary risk exposures. In finance the notion of risk is generally used to express potential monetary losses from adverse events, herein a...

Persistent link: https://www.econbiz.de/10012970689

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

Risk of Financial Distress in Secondary Buyouts

Eschenröder, Tjark - 2020

Secondary buyouts (SBOs) represent more than 50 percent of all buyouts in 2018. Even though general partners argue that SBOs are less attractive investment targets for buyouts and some empirical indication against an outperformance of SBOs exists, the share of SBOs continuously increases....

Persistent link: https://www.econbiz.de/10012845490

Long-term risk class migrations of non-bankrupt and bankrupt enterprises

Korol, Tomasz - In: Journal of business economics and management 21 (2020) 3, pp. 783-804

This paper investigates how the process of going bankrupt can be recognized much earlier by enterprises than by traditional forecasting models. The presented studies focus on the assessment of credit risk classes and on determination of the differences in risk class migrations between...

Persistent link: https://www.econbiz.de/10012270447