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Credit rating downgrades and stock price crash risk : international evidence

Thu Ha Nguyen; Lan, Yihui; Sirimon Treepongkaruna; … - In: Finance research letters 55 (2023) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10014473516

Credit Rating Downgrades and Stock Price Crash Risk : An International Study

Nguyen, Ha; Lan, Yihui; Treepongkaruna, Sirimon; Zhong, Rui - 2023

We document a significant decline in the likelihood of firm-specific stock price crashes after the announcement of credit rating downgrades in 69 countries. This finding supports the argument that credit rating agencies (CRAs) contribute to the disseminating of negative information in the equity...

Persistent link: https://www.econbiz.de/10014356047

Using the Bayesian sampling method to estimate corporate loss given default distribution

Zhang, Xiaofei; Zhao, Xinlei - In: Journal of empirical finance 79 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015179516

Comparison of modeling methods for Loss Given Default

Qi, Min; Zhao, Xinlei - In: Journal of banking & finance 35 (2011) 11, pp. 2842-2855

Persistent link: https://www.econbiz.de/10009373147

Correlation in credit risk changes

Pu, Xiaoling; Zhao, Xinlei - In: Journal of banking & finance 36 (2012) 4, pp. 1093-1106

Persistent link: https://www.econbiz.de/10009557821

Unobserved systematic risk factor and default prediction

Qi, Min; Zhang, Xiaofei; Zhao, Xinlei - In: Journal of banking & finance 49 (2014), pp. 216-227

Persistent link: https://www.econbiz.de/10010508040

Debt structure, market value of firm and recovery rate

Qi, Min; Zhao, Xinlei - In: The journal of credit risk : published quarterly by … 9 (2013) 1, pp. 3-37

Persistent link: https://www.econbiz.de/10009737308

What moves the correlation between the equity and credit default swap markets?

Liu, Zilong; Pu, Xiaoling; Zhao, Xinlei - In: The journal of fixed income 25 (2015) 2, pp. 72-87

Persistent link: https://www.econbiz.de/10011399890

Further investigation of parametric loss given default modeling

Li, Phillip; Qi, Min; Zhang, Xiaofei; Zhao, Xinlei - In: The journal of credit risk : published quarterly by … 12 (2016) 4, pp. 17-47

Persistent link: https://www.econbiz.de/10011645433

Credit rating and microfinance lending decisions based on loss given default (LGD)

Shi, Baofeng; Zhao, Xue; Wu, Bi; Dong, Yizhe - In: Finance research letters 30 (2019), pp. 124-129

Persistent link: https://www.econbiz.de/10012420319