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The Effects of Volatility on Liquidity in the Treasury Market

Meldrum, Andrew; Sokolinskiy, Oleg - 2023

We study the relationship between volatility and liquidity in the market for on-the-run Treasury securities using a … to volatility in future, perhaps because liquidity is more reliant on high-speed quote replenishment and is therefore …

Persistent link: https://www.econbiz.de/10014350704

A Study on the Accuracy of Bankruptcy Models Predicting Financial Distress Levels of Companies : Evidence from Indian Stock Market

Sebasian, Blitzen - 2023

The world has seen the number of companies going bankrupt on the rise over the years owing to a lot of internal factors such as management, asset quality and structuring of resources and external factors such as economic, political, recently the pandemic, the Russia Ukraine war among others....

Persistent link: https://www.econbiz.de/10014350710

A Tale of Two Bankruptcies : Geographic Differences in Bankruptcy Chapter Choice

Pattison, Nathaniel; Millimet, Daniel L. - 2023

The importance of place of birth or residence on a host of economic outcomes cannot be overstated. The treatment of households in consumer bankruptcy appears to be no different. Despite the U.S. Bankruptcy Code being federal law, there is extreme geographic variation in the relative use of the...

Persistent link: https://www.econbiz.de/10014350828

Macroeconomic Uncertainty and Predictability of Real Estate Returns : The Impact of Asset Liquidity

Nayar, Nandkumar; Price, S. McKay; Shen, Ke - 2023

commercial real estate setting, where (il)liquidity is a defining characteristic of the asset class. Empirical tests confirm the … estate asset returns, and pro-cyclical liquidity variation in private real estate markets …

Persistent link: https://www.econbiz.de/10014350917

What Does the CDS Market Imply for a U.S. Default?

Benzoni, Luca; Cabanilla, Christian; Cocco, Alessandro; … - 2023

We document the sharp increase in trading activity, gross and net notional outstanding, and overall premiums in the U.S. credit default swaps (CDS) market that took place during the 2023 debt ceiling episode. Unlike the periods leading up to the 2011 and 2013 debt ceiling events, we show that in...

Persistent link: https://www.econbiz.de/10014350983

Trying Times : Expected Financial Distress in the Household Context

Schmidt, Carolin - 2023

Persistent financial concerns often lead to poor mental health, which is why we need to better understand which factors contribute to it. I elicit determinants of household heads' and non-household heads' expected financial distress after the sudden energy-price hike in the UK in 2021 and find...

Persistent link: https://www.econbiz.de/10014351020

Poverty at Higher Frequency

Merfeld, Joshua D.; Morduch, Jonathan - 2023

Poverty is typically measured as insuﬃcient yearly income or consumption. In practice, however, poverty is marked by seasonality, economic instability, and illiquidity across months. To capture within-year variability, we extend traditional poverty measures to include a temporal dimension....

Persistent link: https://www.econbiz.de/10014351157

Bankruptcy's Identity Crisis

Skeel, David A. - 2023

The large companies that currently file for Chapter 11 look very different than the typical Chapter 11 cases of the past. The liability side of debtors’ balance sheets is much more complex and now consists primarily of secured rather than unsecured obligations. Many firms that might once have...

Persistent link: https://www.econbiz.de/10014351281

Liquidity Forecasts and Stock Returns

Schmitt, Claus; Schuster, Philipp - 2023

We suggest a procedure to predict individual stock liquidity and study the relation between stock liquidity forecasts … and average stock returns. Our forecast model reduces the root-mean-squared error by 12% for the Amihud (2002) liquidity … measure compared to realized stock liquidity in the previous month. Our liquidity forecasts capture economically large changes …

Persistent link: https://www.econbiz.de/10014351379

Risk in the Shadows : Leverage and Liquidity in Nonbanks

Begley, Taylor A.; Srinivasan, Kandarp - 2023

Nonbank mortgage companies (NMCs) use high levels of short-term leverage, leading to concerns about their individual fragility and systemic risk. We find that NMCs also hold very risky assets, with revenue growth ranging from -30% to +100% at the 10th-90th percentile. Surprisingly, we also...

Persistent link: https://www.econbiz.de/10014351380