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An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets

Bongaerts, Dion - 2012

We use an asset pricing approach to compare the effects of expected liquidity and liquidity risk on expected U ….S. corporate bond returns. Liquidity measures are constructed for bond portfolios using a Bayesian approach to estimate Roll …'s measure. The results show that expected bond liquidity and exposure to equity market liquidity risk affect expected bond …

Persistent link: https://www.econbiz.de/10013106117

They Just Fade Away : Mortality in the U.S. Venture Capital Industry

Rider, Christopher I.; Swaminathan, Anand - 2012

Organizational mortality events are better understood than the process by which organizations cease to be. Complementing research on organizing, we theorize about disorganizing. We propose that disorganizing organizations attempt to avoid mortality by reducing audience engagement. We also...

Persistent link: https://www.econbiz.de/10014175285

Cyclicality and Firm-size in Private Firm Defaults

Jensen, Thais Lærkholm; Lando, David; Medhat, Mamdouh - 2016

The Basel II/III and CRD-IV Accords reduce capital charges on bank loans to smaller firms by assuming that the default probabilities of smaller firms are less sensitive to macroeconomic cycles. We test this assumption in a default intensity framework using a large sample of bank loans to private...

Persistent link: https://www.econbiz.de/10014124273

The Consequences of Liquidity Imbalance : When Net Lenders Leave Interbank Markets

Hryckiewicz, Aneta; Kozłowski, Łukasz - 2021

We examine the effect of liquidity imbalances on liquidity risk using 224 bank exits from interbank markets between … liquidity, especially when net placers exit an interbank market. Moreover, we also show that banks try to improve their position … by selling the most liquid assets, which due to the limited capital on the market leads to a liquidity crunch. Finally …

Persistent link: https://www.econbiz.de/10014125912

Optimal Incentive Contracts When Agents Can Save, Borrow, and Default

Bizer, David Scott; DeMarzo, Peter M. - 1999

The standard Principal-Agent (PA) model assumes that the principal can control the agent's consumption profile. In an intertemporal setting, however, Rogerson (1985a) shows that given the optimal PA contract, the agent has an unmet precautionary demand for savings. Thus the standard PA model is...

Persistent link: https://www.econbiz.de/10014178386

Risks, Privatization and Interenterprise Arrears in Transition Economies

Kim, Se-jik; Kwon, Goohoon - 2003

The rapid accumulation and persistence of interenterprise credits and arrears is a fairly common phenomenon in transition economies, posing serious policy concerns. A general equilibrium model of production chains is presented to analyze this phenomenon and provide policy implications. The model...

Persistent link: https://www.econbiz.de/10014178493

The Effect of Liability-Sharing Rules in Delegating Hazardous Activities

Watabe, Akihiro - 2000

This paper examines the effects of liability sharing rules on social welfare and risk reduction when one firm (the principal) delegates indivisible hazardous activities to one of the potential firms (the agents). The problem is posed as providing incentives from the principal to the agents, in...

Persistent link: https://www.econbiz.de/10014179446

Verification and Contesting of Creditors' Claims : Constitutional Limits in the Czech Insolvency Code (in Re Bohemia Crystalex)

Richter, Tomáš - 2013

In what must be one of the most exciting moments in the life of any insolvency code, the Czech Constitutional Court was asked in 2010 to review the constitutionality of the Czech Insolvency Act's rules on verification and contesting of creditors' claims. In its judgment in Re Bohemia Crystalex...

Persistent link: https://www.econbiz.de/10014179455

Financial Instability : A Recession Simulation on the U.S. Corporate Structure

Isenberg, Dorene - 2000

This study is a continuation of the empirical research on the impacts of debt; it argues that debt-usage is not neutral and that the currency of its cost is bankruptcy. A financially fragile economy is feared because of its potential harm. In the public sector the large and lingering deficit is...

Persistent link: https://www.econbiz.de/10014181116

Bank Insolvency Risk and Time-Varying Z-Score Measures

Lepetit, Lætitia - 2015

We compare the different existing approaches to the construction of time-varying Z-score measures, plus an additional alternative one, using a panel of banks for the G20 group of countries covering the period 1992-2009.We examine which ways of estimating the moments used in these different...

Persistent link: https://www.econbiz.de/10013033941