کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
961087 929780 2009 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Hedging credit: Equity liquidity matters
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری استراتژی و مدیریت استراتژیک
پیش نمایش صفحه اول مقاله
Hedging credit: Equity liquidity matters
چکیده انگلیسی
We theorize and confirm a new channel by means of which liquidity costs are embedded in CDS spreads. We show that credit default swap (CDS) spreads are directly related to equity market liquidity in the Merton [Merton, R.C., 1974. On the pricing of corporate debt: The risk structure of interest rates. J. Finance 29, 449-470] model via hedging. We confirm this relationship empirically using a sample of 1452 quarterly CDS spreads over 2001-2005. In the model, this relationship is monotone increasing when credit quality worsens. These results are robust to alternative measures of equity liquidity and other possible determinants of CDS spreads.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Intermediation - Volume 18, Issue 1, January 2009, Pages 112-123
نویسندگان
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