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Stock Liquidity and SMEs’ Likelihood of Bankruptcy : Evidence from the US Market
El Kalak, Izidin - 2018
We study the association between the stock liquidity of SMEs in the US and their likelihood of bankruptcy, using a … substantial heterogeneity across industries regarding the predictive power of the liquidity measure on the likelihood of … performance tests conclude that adding a liquidity measure variable to the Campbell et al. (2008) model improves its predictive …
Persistent link: https://www.econbiz.de/10012930056
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Common factors in prices, order flows and liquidity
Hasbrouck, Joel; Seppi, Duane J. - 1999
Persistent link: https://www.econbiz.de/10001378828
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Predicting US recessions with stock market illiquidity
Chen, Shiu-sheng; Chou, Yu-Hsi; Yen, Chia-Yi - In: The B.E. journal of macroeconomics 16 (2016) 1, pp. 93-123
Persistent link: https://www.econbiz.de/10011508569
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Order flow and liquidity around NYSE trading halts
Corwin, Shane Anthony; Lipson, Marc - In: The journal of finance : the journal of the American … 55 (2000) 4, pp. 1771-1801
Persistent link: https://www.econbiz.de/10001505432
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Common factors in prices, order flows, and liquidity
Hasbrouck, Joel; Seppi, Duane J. - In: Journal of financial economics 59 (2001) 3, pp. 383-411
Persistent link: https://www.econbiz.de/10001545069
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Liquidity difference between non-U.S. and U.S. IPOs on the NYSE listings
Kim, Jang-chul; Lee, Kaun Y.; Yi, Ha-Chin - In: Review of quantitative finance and accounting 62 (2024) 1, pp. 365-387
Persistent link: https://www.econbiz.de/10014503070
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Scenario analysis with the DD-PD mapping approach : stock market shocks and U.S. corporate default risk
Chan-Lau, Jorge A. - 2021
This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitative...
Persistent link: https://www.econbiz.de/10012613371
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Scenario Analysis with the DD-PD Mapping Approach : Stock Market Shocks and U.S. Corporate Default Risk
Chan-Lau, Jorge A. - 2022
This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms’ DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from...
Persistent link: https://www.econbiz.de/10013300844
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Scenario Analysis with the DD-PD Mapping Approach : Stock Market Shocks and U.S. Corporate Default Risk
Chan-Lau, Jorge A. - 2021
This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms’ DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from...
Persistent link: https://www.econbiz.de/10013222017