This study examines the potential risk reducing benefits of credit default swaps (CDS) against risk in U.S. stock … effective hedge against risk in all stock sectors. CDS also provide a safe haven in times of extreme stock market volatility and …

risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond … investors change their perception of risk factors, which results in higher risk factor correlation and finally higher bond …

issuers, we provide evidence to support a statistically significant negative downgrade risk premium in excess returns …, suggesting that stocks at higher risk of failure tend to deliver lower returns. The performance of the model remains robust …

the information would otherwise have become public. Consequently, disclosure shifts risk from later cohorts of investors … to allocate risk intertemporally. This paper shows that a policy of partial disclosure (and, hence, of intertemporal risk …

. Using more than 1.5 million data points of individual bonds, instead of using index data, monthly asset swap spread (ASW … risk. We find that the bond purchase programs by central banks considerably lowered credit spreads. Also, the credit spread …

We study the endogenous determination of corporate debt maturity in a setting with default risk. We assume that firms … risk. The technology is such that earnings can switch to a higher (but riskier) level. In this second phase firms have … access to the equity market but they may default if this is the best option. We call this strategic default risk. In the …

a decrease in bank equity risk. We show theoretically, that keeping less capital in excess of the minimum capital … requirement can outweigh the risk-reducing effect on equity of increased total capitalization. Empirically, we find that excess … capitalization is a significant determinant of equity risk, and can explain why bank equity risk has not become lower after the Great …

In this paper, we examine the effect of credit defaults swap (CDS) initiation on reference firms' cost management … bankruptcy risk, borrowers are more concerned about liquidity and have heightened incentive to decrease cost stickiness after CDS …

This paper analyzes the effectiveness of hedging a defaultable bond, that may not be at par, with a credit default swap … bond price than the par value of the bond. This paper provides a framework distinct from the risk neutral framework by …