This study examines the existing relationship between announcements of debt rating changes for companies listed on the Spanish stock exchange and the liquidity of their stocks for the period of 2000 to 2010. Liquidity around the announcement day is analyzed using different liquidity measures...

This paper analyses how reputational shocks and regulatory reforms have affected the value-relevant information content of rating adjustments announced by the main Credit Rating Agencies (CRAs). We analyse the U.S. stock market at the firm level. Our novel empirical findings show the inverse...

This paper documents a negative cross-transmission of bank-idiosyncratic credit risk events to the equity value of peers comprising other banks, insurance and real estate firms inter alia. Large jumps in the idiosyncratic component of bank CDS spreads significantly reduce the equity value of...

This study analyzes the effect of corporate bond rating changes over stock prices. We explore the effects over excess of returns and systematic risk. Rating changes by Moody's, Standard and Poor's or FitchIBCA are analyzed. On an efficient market, these changes will only have some effect if they...

The influence of rating announcements on corporate debt market trading has been previously overlooked. Based on an event study, we examine the effects of the three types of announcements provided by credit rating agencies on abnormal trading volume and trading frequency in the Spanish corporate...

A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility...

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of futures contracts. For this purpose, daily data of...

In this paper we advance the idea that optimal risk management under the Basel II Accord will typically require the use of a combination of different models of risk. This idea is illustrated by analyzing the best empirical models of risk for five stock indexes before, during, and after the...

This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...

In the past decades, numerous studies have been conducted on the trade-off between guns and butter, namely defense versus social sector expenditure. The aim of this research is identifying whether indeed defense spending crowded out investment and other social expenditures as health and...