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Equity capital, bankruptcy risk and the liquidity trap
Levintal, Oren - 2012
This paper explains the emergence of liquidity traps in the aftermath of large-scale financial crises, as happened in … long time. -- liquidity trap ; financial crisis ; rare disasters ; equity capital ; leverage ; bankruptcy risk …
Persistent link: https://www.econbiz.de/10009535806
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Illiquidity or Credit Deterioration : A Study of Liquidity in the US Corporate Bond Market during Financial Crises
Friewald, Nils - 2010
We use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 20,000 bonds … on the quantification of the impact of liquidity factors, while controlling for credit risk. Our time period starts in … market, and the period in between, when market conditions were more normal.We employ a wide range of liquidity measures and …
Persistent link: https://www.econbiz.de/10013150981
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Illiquidity or Credit Deterioration : A Study of Liquidity in the US Corporate Bond Market during Financial Crises
Friewald, Nils - 2010
We use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 20,000 bonds … on the quantification of the impact of liquidity factors, while controlling for credit risk. Our time period starts in … market, and the period in between, when market conditions were more normal.We employ a wide range of liquidity measures and …
Persistent link: https://www.econbiz.de/10013152489
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Liquidity Patterns in the U.S. Corporate Bond Market
Heck, Stephanie - 2018
Liquidity level and liquidity risk are priced in the cross-section of corporate bond yields and returns. In the first … case the focus is on the individual liquidity level while in the second case it is on the exposure to a common liquidity … factor. In this paper we focus on the impact of the liquidity level on yield spreads by acknowledging that liquidity is a …
Persistent link: https://www.econbiz.de/10012937035
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Order flow segmentation and the role of dark trading in the price discovery of U.S. treasury securities
Fleming, Michael J.; Nguyen, Giang H. - 2013
a mechanism for discovering dark liquidity. We quantify its role in the price formation process in a model of the … dynamics of price and segmented order flow induced by the protocol. We find that the dark liquidity pool generally contains … liquidity providers to guard against adverse price movements than as a channel to hide private information. …
Persistent link: https://www.econbiz.de/10009781862
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What does the CDS market imply for a U.S. default?
Benzoni, Luca; Cabanilla, Christian; Cocco, Alessandro; … - 2023 - Revised: May 17, 2023
As the debt ceiling episode unfolds, we highlight a sharp increase in activity across the U.S. credit default swaps (CDS) market and infer the likelihood of a U.S. default from these market prices. Beginning in January 2023, we document a significant increase in U.S. CDS trading activity and...
Persistent link: https://www.econbiz.de/10014249852
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What Does the CDS Market Imply for a U.S. Default?
Benzoni, Luca; Cabanilla, Christian; Cocco, Alessandro; … - 2023
As the debt ceiling episode unfolds, we highlight a sharp increase in trading activity and liquidity in the U.S. credit …
Persistent link: https://www.econbiz.de/10014355266
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What Does the CDS Market Imply for a U.S. Default?
Benzoni, Luca; Cabanilla, Christian; Cocco, Alessandro; … - 2023
We document the sharp increase in trading activity, gross and net notional outstanding, and overall premiums in the U.S. credit default swaps (CDS) market that took place during the 2023 debt ceiling episode. Unlike the periods leading up to the 2011 and 2013 debt ceiling events, we show that in...
Persistent link: https://www.econbiz.de/10014350983
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The Triffin dilemma again
Campanella, Edoardo - 2010
Tiny changes in the American monetary policy can have dramatic effects on the rest of the world because of dollar's double role of national and international currency. This is the Triffin dilemma. The paper shows how it works through three examples: price of commodities, dollarization, and the...
Persistent link: https://www.econbiz.de/10008648332
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Economic crisis and share price unpredictability : reasons and implications
Fox, Edward G.; Fox, Merritt B.; Gilson, Ronald J. - 2014
During the recent financial crisis, there was a dramatic spike, across all industries, in the volatility of individual firm share prices after adjustment for movements in the market as a whole. In this Article, we demonstrate that a similar spike has occurred with each major downturn in the...
Persistent link: https://www.econbiz.de/10010259665