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Liquidity spillovers in sovereign bond and CDS markets: An analysis of the Eurozone sovereign debt crisis
Calice, Giovanni; Chen, Jing; Williams, Julian - In: Journal of Economic Behavior & Organization 85 (2013) C, pp. 122-143
default swap (CDS) credit spreads should track each other closely. In addition, liquidity risk should be priced into both … autoregression framework to establish the credit and liquidity spread interactions over the 2009–2010 crisis period. We find …, for several countries, including Greece, Ireland and Portugal the liquidity of the sovereign CDS market has a substantial …
Persistent link: https://www.econbiz.de/10010608206
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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 Impact of Hedge Funds on Asset Markets
Kruttli, Mathias; Patton, Andrew J; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2014
liquidity provision by hedge funds to noise traders to rationalize our findings, and empirically verify auxiliary predictions of …
Persistent link: https://www.econbiz.de/10011084210
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The Impact of Hedge Funds on Asset Markets
Kruttli, Matthias; Patton, Andrew J.; Ramadorai, Tarun - Duke University, Department of Economics - 2013
While there has been enormous interest in hedge funds from academics, prospective and current investors, and policymakers, rigorous empirical evidence of their impact on asset markets has been difficult to find. We construct a simple measure of the aggregate illiquidity of hedge fund portfolios,...
Persistent link: https://www.econbiz.de/10010834067
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Illiquidity, duration and momentum profits: evidence from the Korean stock market
Bae, Jaewan; Lee, Changjun - In: Journal of derivatives and quantitative studies 29 (2021) 1, pp. 49-72
This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean … paper finds that duration factor defined as the difference in returns of short-duration and longduration stocks captures … well the momentum profits. That is, a two-factor model with the market and duration factor performs much better than …
Persistent link: https://www.econbiz.de/10012592791
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Price discovery of credit spreads in tranquil and crisis periods
Avino, Davide; Lazar, Emese; Varotto, Simone - In: International Review of Financial Analysis 30 (2013) C, pp. 242-253
In this paper we investigate the price discovery process in single-name credit spreads obtained from bond, credit default swap (CDS), equity and equity option prices. We analyse short term price discovery by modelling daily changes in credit spreads in the four markets with a vector...
Persistent link: https://www.econbiz.de/10010730274
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Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options
Avino, Davide; Lazar, Emese; Varotto, Simone - Henley Business School, University of Reading - 2011
Credit spreads can be derived from the prices of securities traded in different markets. In this paper we investigate the price discovery process in single-name credit spreads obtained from bonds, credit default swaps, equities and equity options. Using a vector error correction model (VECM) of...
Persistent link: https://www.econbiz.de/10010838040
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Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options
Avino, Davide; Lazar, Emese; Varotto, Simone - Volkswirtschaftliche Fakultät, … - 2012
Credit spreads can be derived from the prices of securities traded in different markets. In this paper we investigate the price discovery process in single-name credit spreads obtained from bonds, credit default swaps, equities and equity options. Using a vector error correction model (VECM) of...
Persistent link: https://www.econbiz.de/10011112798
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Are There Arbitrage Opportunities in Credit Derivatives Markets? A New Test and an Application to the Case of CDS and ASPs
Mayordomo, Sergio; Peña, Juan Ignacio; Romo, Juan - Departamento de Economía de la Empresa, Universidad … - 2009
This paper analyzes possible arbitrage opportunities in credit derivatives markets using selffinancing strategies combining Credit Default Swaps and Asset Swaps Packages. We present a new statistical arbitrage test based on the subsampling methodology which has lower Type I error than existing...
Persistent link: https://www.econbiz.de/10008486969
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A quoi réagit le marchés des obligations privées?
Briere, Marie; Cohen, Aurélie - Centre Emile Bernheim, Solvay Brussels School of … - 2006
Nous avons étudié quelles annonces économiques font significativement réagir le marché des obligations privées aux Etats-Unis. Nous avons mesuré l’impact sur 1 jour d’une trentaine d’annonces macroéconomiques sur les spreads de crédit, en affinant notre analyse grâce à une...
Persistent link: https://www.econbiz.de/10005558887