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Liquidity tail risk and credit default swap spreads

Irresberger, Felix; Weiß, Gregor; Gabrysch, Janet; … - In: European journal of operational research : EJOR 269 (2018) 3, pp. 1137-1153

Persistent link: https://www.econbiz.de/10011866884

Liquidity and default in an exchange economy

Martínez S., Juan Francisco; Tsomocos, Dimitrios P. - In: Journal of financial stability 35 (2018), pp. 192-214

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Stock liquidity and default risk

Brogaard, Jonathan; Li, Dan; Xia, Ying - In: Journal of financial economics 124 (2017) 3, pp. 486-502

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The collateral spread puzzle : why do repo rates often exceed unsecured rates?

Nyborg, Kjell G. - 2024

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Does stock liquidity affect bankruptcy risk? : DID analysis from Vietnam

Hai Hong Trinh; Nguyen Phuc Canh; Wei, Hao; Wongchoti, … - In: Pacific-Basin finance journal 69 (2021), pp. 1-10

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Fama-French-Carhart Factor-Based Premiums in the US REIT market : a risk based explanation, and the impact of financial distress and liquidity crisis from 2001 to 2020

Essa, Mohammad Sharik; Giouvris, Evangelos - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-39

The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size … to establish the long/short-run impact of financial distress and liquidity crisis on these premiums during recessionary … liquidity crisis. On the other hand, size, value and investment premiums rise with financial distress/liquidity crisis, only …

Persistent link: https://www.econbiz.de/10013545890