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Kau, James B. - 2010

Using data on privately-securitized subprime ARMs (adjustable rate mortgages) originated between 1997 and 2008 and observed between 2000 and 2008, and so covering the start of the subprime crisis, this paper constructs a reduced-form credit risk model of default, and then uses contractual...

Persistent link: https://www.econbiz.de/10013144325

Rights Offerings, Subscription Period, Shareholder Takeup and Liquidity

Balachandran, Balasingham - 2010

We examine the role of shareholder takeup in rights offerings on the subscription period price reaction and liquidity … shareholder takeup improves liquidity. We do find some evidence of inefficiencies in the adjustment process over the subscription …

Persistent link: https://www.econbiz.de/10013149273

Systematic Liquidity Risk and Asset Pricing : Evidence from London Stock Exchange

Mazouz, Khelifa - 2009

This study is the first to examine whether systematic liquidity risk is priced on the London Stock Exchange (LSE). We … use the proportional quoted bid-ask spread, Amihud's (2002) market illiquidity ratio, and turnover rate as liquidity … proxies. In contrast to US studies, we do not find evidence that systematic liquidity risk is priced on the LSE …

Persistent link: https://www.econbiz.de/10013159660

Thy Neighbor's Mortgage : Does Living in a Subprime Neighborhood Affect One's Probability of Default?

Agarwal, Sumit; Ambrose, Brent William; Chomsisengphet, … - 2022

This paper focuses on the potential externalities associated with subprime mortgage origination activity. Specifically, we examine whether negative spillover effects from subprime mortgage originations result in higher default rates in the surrounding area. Our empirical analysis controls for...

Persistent link: https://www.econbiz.de/10014044662

Default Risk in Corporate Yield Spreads

Dionne, Georges - 2010

An important research question examined in the credit risk literature focuses on the proportion of corporate yield spreads attributed to default risk. This topic is reexamined in the light of the different issues associated with the computation of transition and default probabilities obtained...

Persistent link: https://www.econbiz.de/10012717692

How large are Pre-Default Costs of Financial Distress? Estimates from a Dynamic Model

Elkamhi, Redouane - 2020

We estimate the costs of financial distress prior to default (pre-default costs) separately from the loss incurred at default (the loss given default) using a dynamic trade-off model of capital structure. We document that pre-default costs are on average equal to 6.5% of firm value per year. We...

Persistent link: https://www.econbiz.de/10012839730

Large Portfolio Asymptotics for Loss from Default

Giesecke, Kay - 2020

We prove a law of large numbers for the loss from default and use it for approximating the distribution of the loss from default in large, potentially heterogenous portfolios. The density of the limiting measure is shown to solve a non-linear stochastic PDE, and certain moments of the limiting...

Persistent link: https://www.econbiz.de/10012857388

Trade and Market Selection : Evidence from Manufacturing Plants in Colombia

Haltiwanger, John C. - 2019

We examine the link between trade liberalization and aggregate productivity, with a focus on improved market selection resulting from a reduction in trade barriers and in the dispersion of these barriers across producers. Our analysis exploits tariff changes across sectors after the Colombian...

Persistent link: https://www.econbiz.de/10012863528

Designing an If-Then Rules Based Ensemble of Heterogeneous Bankruptcy Classifiers : A Genetic Algorithm Approach

Davalos, Sergio - 2018

We propose a framework for an ensemble bankruptcy classifier that uses if-then rules to combine the outputs from a heterogeneous set classifiers. A genetic algorithm (GA) induces the rules using an asymmetric, cost-sensitive fitness function that includes accuracy and misclassification costs....

Persistent link: https://www.econbiz.de/10012937849

Wealth Effects on the Housing Markets : Do Market Liquidity and Market States Matter?

Zeng, Jhih-Hong - 2017

sales by employing quantile regressions, restricted upon different liquidity (quantile) levels and up-down housing markets … markets, but not in up markets. Particularly, our results show an impact of housing liquidity on the short-run relationships …

Persistent link: https://www.econbiz.de/10012974332