The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size … premiums are associated with higher risk. The study then employs Auto-regressive distributed lag and Error Correction Modeling … to establish the long/short-run impact of financial distress and liquidity crisis on these premiums during recessionary …

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 …