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On the role of the liquidity premium in the regulation of insurers : prepared ... for the "Workshop on Liquidity Premium in Solvency II: Conceptual and Measurement Issues," DNB Ams...

Laux, Christian - 2011

Persistent link: https://www.econbiz.de/10009124113

Credit spread decomposition : decomposing Bond-Level credit OAS into default and liquidity components

Dastidar, Siddhartha G.; Phelps, Bruce D. - In: The journal of portfolio management : a publication of … 37 (2010/11) 3, pp. 70-84

Persistent link: https://www.econbiz.de/10009129548

Liquidity risk premium in costing of equity capital : comment

In: Journal of risk management in financial institutions 4 (2010/11) 1, pp. 8-11

Persistent link: https://www.econbiz.de/10008905805

Liquidity risk in credit default swap markets

Junge, Benjamin; Trolle, Anders B. - 2013

We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS … constituents' CDS spreads, and we construct a tradable liquidity factor from returns on index arbitrage strategies. CDS contracts … with higher liquidity exposures have higher expected excess returns for sellers of credit protection and trade with wider …

Persistent link: https://www.econbiz.de/10010258589

Liquidity risk of corporate bond returns : conditional approach

Acharya, Viral V.; Amihud, Yakov; Bharath, Sreedhar T. - In: Journal of financial economics 110 (2013) 2, pp. 358-386

Persistent link: https://www.econbiz.de/10010208670

Revisiting the Altman definition of distressed debt and a new mechanism for measuring the liquidity premium of the high-yield market

González-Heres, José F.; Chen, Ping; Shin, Steven S. - In: The journal of fixed income 20 (2010/11) 2, pp. 58-79

Persistent link: https://www.econbiz.de/10008667945

Determinants of CoCo issuance : liquidity and risk incentives

Abdallah, Bashar; Rodríguez Fernández, Francisco - In: Journal of financial regulation and compliance 30 (2022) 4, pp. 412-438

Persistent link: https://www.econbiz.de/10013389556

A unified model of distress risk puzzles

Chen, Zhiyao; Hackbarth, Dirk; Strebulaev, Ilya A. - In: Journal of financial economics 146 (2022) 2, pp. 357-384

Persistent link: https://www.econbiz.de/10013482277

Illiquidity Premium, Transaction Costs, and Risks of Illiquid Assets

Meng, Ben - 2015

Liquidity has long been a great interest to investment professionals as well as academic researchers. The estimation of …

Persistent link: https://www.econbiz.de/10013026578

Liquidity risk and expected returns in China's stock market : a multidimensional liquidity approach

Dong, Liang; Yu, Bo; Qin, Zhenjiang; Lam, Keith - In: Research in international business and finance 69 (2024), pp. 1-26

Persistent link: https://www.econbiz.de/10015052394