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Persistent link: https://www.econbiz.de/10005478023
Standard credit risk models cannot explain the observed clustering of default, sometimes described as "credit contagion." This paper provides the first empirical analysis of credit contagion via direct counterparty effects. We find that bankruptcy announcements cause negative abnormal equity...
Persistent link: https://www.econbiz.de/10008518816
This paper investigates information transfer effects of bond rating downgrades measured by equity abnormal returns for industry portfolios. Industry rivals can be subject to two opposing effects, the contagion effect and the competition effect. We find that the net effect is strongly dependent...
Persistent link: https://www.econbiz.de/10008670831
Using a sample of 161 global banks in 23 countries, we examine the applicability of structural models and bank fundamentals to price global bank credit risk. First, we find that variables predicted by structural models (leverage, volatility, and risk-free rate) are significantly associated with...
Persistent link: https://www.econbiz.de/10011114570
The credit default swap (CDS) market attracted much debate during the 2008 financial crisis. Opponents of CDS argue that CDS could lead to financial instability as it allows speculators to bet against companies and make the crisis worse. Proponents of CDS believe that CDS could increase market...
Persistent link: https://www.econbiz.de/10010729658
This paper models the relationship between price and volume by tracking their adjustment path and speed in a world with heterogeneous investors. Motivated by widely observed information leakage in the stock market and fast-growing electronic communication networks, the model features sequential...
Persistent link: https://www.econbiz.de/10010837277
China’s economy has been growing rapidly since the late 1970s and is expected to maintain this momentum in the foreseeable future. Coupled with the biggest population in the world, there is tremendous growth potential for China’s capital markets and financial services industry,...
Persistent link: https://www.econbiz.de/10011178214
After the stock reforms in 2005, China's equity warrants market became the second-largest in terms of trading value after Germany and surpassed Hong Kong in 2006. The growth of the warrants market in China has been constrained by the gradual expiration of reform-related warrants, excessive...
Persistent link: https://www.econbiz.de/10005048954
Recent literature has documented a link between institutional equity ownership (IO) and cost of debt capital, and interpreted it as a corporate governance effect. However, institutional equity investors may also affect cost of debt through their influence on information asymmetry condition of...
Persistent link: https://www.econbiz.de/10005006303
This article explores the imbalance between China's real estate market, which is booming, and the stock market, which has plunged over four years. Our empirical analysis shows that the two markets are systematically negatively related due to fund flows. The plummeting stock indexes are partly...
Persistent link: https://www.econbiz.de/10005754127