Liquidity and Credit Risk

By Jan Ericsson, Olivier Renault. 2006

496 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/09a2b28bc5dd5150f125869d753f9b0b4aa514fc

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Citations in the corpus

Endogenous Liquidity and Defaultable Bonds (2012, background): “Ericsson and Renault (2006) analyze the interaction between secondary liquidity and the bankruptcy-renegotiation in a LT96 framework.”
Comparing Possible Proxies of Corporate Bond Liquidity (2003, unknown): “One paper, Ericsson and Renault (2001) , used the Fama– French factors, but not the characteristics; several papers made use of the rating and 3 Changing the return measure from realized return into yield makes our return measure sensitive to time-to-maturity.”
Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market (2005, background): “Aggregate arguments associated with liquidity restrictions directly related to the discussion above have been put forward by Ericsson and Renault (2000), Holmström and Tirole (2001), Lustig (2001), Acharya and Pedersen (2002), and Domowitz and Wang (2002).”
Decomposing European CDS Returns (2010, background): “…ratings is centered around medium credit quality: less than 1% of the firms in our sample have a median rating of AAA, 11% have 5Recent papers that analyze the contribution of non-credit factors to corporate bond yields in- clude Longstaff et al. (2005), Zhou (2005) and Ericsson and Renault (2006).”
Market Liquidity in the Financial Crisis: The Role of Liquidity Commonality and Flight-to-Quality (2013, background): “These results are in line with our hypothesis that there is a positive relationship between credit risk/default probability and liquidity risk and previous findings in the bond and CDS markets (e.g., Ericsson and Renault (2006) and Chen et al. (2007)).”
Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market (2006, background): “In addition to this empirical work, there are three closely related theoretical models that provide some guidance to the role of liquidity in our empirical study: Vayanos (2004), Acharya and Pedersen (2005), and Ericsson and Renault (2006).”
Measuring and Managing Credit Risk (2004, background): “Ericsson and Renault (2001) model the behavior of a bondholder who may be forced to sell her position due to an external shock (immediate need for cash).”
On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle (2009, unknown): “See, for example, Duffie and Singleton (1997), Duffee (1999), Elton et al. (2001), Leland (2004), Geske and Delianedis (2003), Driessen (2005), Feldhutter and Lando (2008), Ericsson and Renault (2006), Longstaff, Mithal, and Neis (2005), and Chen, Lesmond, and Wei (2007).”
Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates (2001, unknown): “…along these lines, see also Berd (2006), Chava, Stefanescu, and Turnbull (2006), Dai and Singleton (2003), Das and Hanouna (2006), Driessen (2005), Guha and Sbuelz (2005), Guo, Jarrow, and Zeng (2005), Karoui (2005), Longstaff and Rajan (2006), and Yu (2002). pricing defaultable coupon bonds…”
Corporate Yield Spreads and Bond Liquidity (2007, unknown): “Contemporaneous studies by Longstaff et al. (2005) and Ericsson and Renault (2002) also relate corporate bond liquidity to yield spreads.”
The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures (2012, unknown): “Similar evidence of a large non-default component at both short and long maturities is found in Longstaff (2004) and Feldhütter and Lando (2008). Despite the evidence for a non-default component in credit spreads few papers have tried to explain the credit spread puzzle as arising from the differenc”
How Does Liquidity Affect Government Bond Yields? (2009, unknown): “4 In contrast, we model risk as being driven by a common factor, consistent with the results by Codogno, Favero, and Missale (2003) and Geyer, Kossmeyer, and Pichler 4Other work has investigated the high-frequency impact of credit risk on corporate bond spreads: see Longstaff, Mithal, and Neis (2005”
The Levered Equity Risk Premium and Credit Spreads: A Unified Framework (2010, methodology): “The approach is based on Hamilton (1989) and details specific to our implementation are summarized in Appendix C.”
Liquidity and Credit Default Swap Spreads (2007, unknown): “Ericsson, Jan, and Olivier Renault, 2006, Liquidity and credit risk, Journal of Finance 61, 2219–2250.”
Bond Liquidity Premia (2012, methodology): “All other coefficients are insignificant but these results are are not directly comparable with Ericsson and Renault (2006) due to differences of models and sample frequencies. candidate determinants of liquidity valuation and to characterize aggregate liquidity states in terms of known economic ind”