Purpose The purpose of this paper is to estimate the effects of liquidity on corporate bond spreads. Design/methodology/approach Using a systematic liquidity factor extracted from the yield spreads between on- and off-the-run Treasury issues as a state variable, the authors jointly estimate the...

Summary We introduce an intuitive method of enhancing low-frequency volatility measures used to compute Value-at-Risk (VaR) by incorporating intradaily liquidity information from the limit order book. Using the quote slope of Hasbrouck and Seppi (2001), a compound liquidity measure comprising...

Abstract We study a preferred equity infusion government program set to mitigate interbank contagion. Financial institutions are prone to insolvency risk channeled through the network of interbank debt and to funding liquidity risk. The government seeks to maximize, under budget constraints,...

Purpose The purpose of this paper is to examine whether Islamic finance could replace or complement the traditional financial system and could guarantee stability in times of crisis. Design/methodology/approach To achieve the aim, the authors examined both risk-taking and profitability of 94...

Purpose This paper aims to identify and analyze the similarities and differences of the liquidity risk determinants within conventional and Islamic banks. Design/methodology/approach This study uses a dynamic panel data approach to examine the relationship between liquidity risk and a set of...

Purpose – The purpose of this paper is to examine liquidity risk in Pakistani banks and evaluate the effect on banks' profitability. Design/methodology/approach – Data are retrieved from the balance sheets, income statements and notes of 22 Pakistani banks during 2004‐2009. Multiple...

Purpose The purpose of this paper is to study connections between interest rate risk and credit risk and investigate the inter-risk diversification benefit due to the joint consideration of these risks in the banking book containing sovereign debt. Design/methodology/approach The paper develops...

Purpose – The purpose of this paper is to evaluate the pricing implication of aggregate market wide investor sentiment risk for cross sectional return variation in the presence of other market wide risk factors. Design/methodology/approach – The paper employs the Fama and French time series...

Purpose – The late 2000s Great Recession led to a surge of bank failures in the USA with nearly 300 banks failing from 2009 to 2010. Recalling the farm crises of the 1980s where the farm sector was pinpointed as one of the major precursors of such crises, this study is an attempt to validate...

Purpose – The purpose of this paper is to empirically analyze the effects of managerial overconfidence on debt maturity structure decisions in terms of liquidity risk and asset match in Chinese listed companies. Design/methodology/approach – Combining data from CSMAR with some default data...