Investment Commonality across Insurance Companies: Fire Sale Risk and Corporate Yield Spreads
نویسندگان
چکیده
منابع مشابه
Realized Volatility, Liquidity, and Corporate Yield Spreads
I propose a bond-specific, time-varying friction measure of round-trip liquidity costs. The measure is robust to outliers in daily bond returns and accounts for the idiosyncratic information behind bond trading decisions. Using transactions from January 2004 to December 2010, I find that liquidity costs display a strong correlation with credit conditions and peaked during the sub-prime crisis. ...
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In placing capital market imperfections at the center of emerging market crises, the theoretical literature has associated a liquidity crisis with low foreign investment and the exit of investors from the crisis economy. However, a liquidity crisis is equally consistent with an inflow of foreign capital in the form of mergers and acquisitions (M&A). To support this hypothesis, we use a firm-lev...
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ژورنال
عنوان ژورنال: Journal of Financial and Quantitative Analysis
سال: 2018
ISSN: 0022-1090,1756-6916
DOI: 10.1017/s0022109018001515