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different challenging frameworks, with a key focus on financial position, liquidity, earnings, and debt. This study examines the …
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This paper explores commonalities across asset-pricing anomalies. In particular, we assess implications of financial distress for the profitability of anomaly-based trading strategies. Strategies based on price momentum, earnings momentum, credit risk, dispersion, idiosyncratic volatility, and...
Persistent link: https://www.econbiz.de/10013066892
information asymmetries. We measure the latter by using equity liquidity. The effect is based on the assumption that one of the … main drivers of liquidity is the information asymmetry that exists between managers (insiders) and owners (outsiders). For … costs, and the price impact of order flow. Under the assumption of joint determination of leverage and liquidity, we find …
Persistent link: https://www.econbiz.de/10013067778
We expand on the standard commercial mortgage default model and create a new model by looking beyond the usual factors of option value, insolvency, property type, region, originator type, state foreclosure laws and macroeconomic measures. The new model incorporates measures of local economic...
Persistent link: https://www.econbiz.de/10013073068
information asymmetry from equity liquidity through the use of an information asymmetry index that is based on six measures that … liquidity, the data indicate that expected increases in leverage (target leverage changes) decrease the information asymmetry … index. This is consistent with the signalling hypothesis of Ross (1977), and is equivalent to increases in equity liquidity …
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We investigate whether and how business credit information sharing helps to better assess the default risk of private firms. Private firms represent an ideal testing ground because they are smaller, more informationally opaque, riskier, and more dependent on trade credit and bank loans than...
Persistent link: https://www.econbiz.de/10013092166