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Liquidity Shocks, Commodity Financialization, and Market Comovements

Hu, Conghui - 2020

composite liquidity index and five different types of liquidity measures. We find that liquidity shocks, including both funding …We explore whether and how liquidity factors influence risk transfers between commodity and stock markets using a … liquidity and market liquidity, are positively associated with comovements between commodity and stock markets after 2000 …

Persistent link: https://www.econbiz.de/10012833327

Temporal Effects in Index CDS Trading and Liquidity

Xu, Weike - 2020

) trading and liquidity. We find strong intraday variations in index CDS trading activities and liquidity. Unlike the U … findings improve our understanding of the trading costs and liquidity in the over-the-counter derivatives market …

Persistent link: https://www.econbiz.de/10012833364

Hedging-Induced Correlation in Illiquid Markets

Brøgger, Søren Bundgaard - 2020

I develop a model with two assets in which the hedging activity of derivatives dealers, interacting with market illiquidity, distorts the covariance structure of the market. I apply the model to hedging of counter party risk, and find strong support for the model's key predictions. Using...

Persistent link: https://www.econbiz.de/10012834282

A Market-Based Framework for Bankruptcy Prediction

Reisz, Alexander - 2004

We estimate probabilities of bankruptcy for 5,784 industrial firms in the period 1988-2002 in a model where common equity is viewed as a down-and-out barrier option on the firm's assets. Asset values and volatilities as well as firm-specific bankruptcy barriers are simultaneously backed out from...

Persistent link: https://www.econbiz.de/10012738341

The Mills Ratio and the Behavior of Redeemable Bond Prices in the Gaussian Structural Model of Corporate Default

Spencer, Peter - 2017

This paper shows that forward default intensities in the Black and Cox (1976) model of corporate default can be expressed in terms of the Mills Ratio (Mills, 1926). The behavior of the forward default intensity and hence the survivorship functions then follows from inequalities that are...

Persistent link: https://www.econbiz.de/10012954783

Equity Option Implied Probability of Default and Equity Recovery Rate

Chang, Bo Young - 2019

There is a close link between prices of equity options and the probability of default of a firm. We show that in the presence of positive expected equity recovery, the standard methods that assume zero equity recovery at default misestimate the probability of default implicit in option prices....

Persistent link: https://www.econbiz.de/10012903784

Stock Liquidity and Issuing Activity

Barinov, Alexander - 2019

The paper shows that issuing activity does not result in superior liquidity. Even the kinds of new issues that are … existing liquidity-based explanations of the new issues puzzle. The paper also shows that the low-minus-high turnover factor …

Persistent link: https://www.econbiz.de/10012904032

Dash for Cash : Monthly Market Impact of Institutional Liquidity Needs

Etula, Erkko - 2019

agents, including mutual funds, suffer from liquidity-related trading …

Persistent link: https://www.econbiz.de/10012904617

Option Bid-Ask Spread and Liquidity

Chaudhury, Mo - 2019

This paper focuses on the search for a summary quantitative measure for option liquidity that is economically …-quote price) not only leads to liquidity ranking of options that is contrary to the popular view, but it is also biased against … lower priced options and hence can lead to erroneous conclusion about liquidity risk premium of options. To gain economic …

Persistent link: https://www.econbiz.de/10012905945

Bankruptcy Prediction Models and the Cost of Debt

Mansi, Sattar - 2019

Financial institutions and academic researchers utilize bankruptcy prediction models to assess distress risk. However, predicting default can be problematic since (i) few firms actually experience default in any one year, (ii) the lag between practical and actual default can vary significantly,...

Persistent link: https://www.econbiz.de/10012906070