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Group affiliation and default prediction
Beaver, William H.; Cascino, Stefano; Correia, Maria; … - 2018
Using a large sample of business groups from more than one hundred countries around the world, we show that group information matters for parent and subsidiary default prediction. Group firms may support each other when in financial distress. Potential group support represents an off-balance...
Persistent link: https://www.econbiz.de/10011864989
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The time-varying impact of systematic risk factors on corporate bond spreads
Klein, Arne Christian; Pliszka, Kamil - 2018
During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...
Persistent link: https://www.econbiz.de/10011855295
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The Fed takes on corporate credit risk : an analysis of the efficacy of the SMCCF
Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajšek, Egon - 2024 - This version: March 2024
This paper evaluates the efficacy of the Secondary Market Corporate Credit Facility, a program designed to stabilize the U.S. corporate bond market during the COVID-19 pandemic. The program announcements on March 23 and April 9, 2020, significantly reduced investment-grade credit spreads across...
Persistent link: https://www.econbiz.de/10014529079
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Does foreign information predict the returns of multinational firms worldwide?
Finke, Christian; Weigert, Florian - 2015 - This version: September 2015
We investigate whether value-relevant foreign information only gradually dilutes into stock prices of multinational firms worldwide. Using an international sample of firms from 22 developed countries, we find that a portfolio strategy based on firms' foreign sales information yields future...
Persistent link: https://www.econbiz.de/10011344380
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Average skewness matters!
Jondeau, Eric; Zhang, Qunzi - 2015
future market returns. This result still holds after controlling for the size or liquidity of the firms or for current …
Persistent link: https://www.econbiz.de/10011412455
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Cross-sectional and time-series tests of return predictability : what is the difference?
Goyal, Amit; Jegadeesh, Narasimhan - 2015
We compare the performance of time-series (TS) and cross-sectional (CS) strategies based on past returns. While CS strategies are zero-net investment long/short strategies, TS strategies take on a time-varying net-long investment in risky assets. For individual stocks, the difference between the...
Persistent link: https://www.econbiz.de/10011296939
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Market efficiency in the age of big data
Martin, Ian; Nagel, Stefan - 2019
Modern investors face a high-dimensional prediction problem: thousands of observable variables are potentially relevant for forecasting. We reassess the conventional wisdom on market efficiency in light of this fact. In our model economy, which resembles a typical machine learning setting, N...
Persistent link: https://www.econbiz.de/10012156724
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Cash flow duration and the term structure of equity returns
Weber, Michael - 2016
The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month … lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level … for short-sale constraints, and find the negative cross-sectional relationship between cash flow duration and returns is …
Persistent link: https://www.econbiz.de/10011521939
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To disclose or not to disclose : transparency and liquidity in the structured product market
Friewald, Nils; Jankowitsch, Rainer; Subrahmanyam, Marti G. - 2014 - This version: May 5, 2014
We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and … provide guidance for improving transparency while maintaining trader confidentiality. In addition, we analyze liquidity in the …
Persistent link: https://www.econbiz.de/10010361830
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Central clearing and asset prices
Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 2013
We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...
Persistent link: https://www.econbiz.de/10010224773