Liquidity or Credit Risk? The Determinants of Very Short-Term Corporate Yield Spreads

By Daniel M. Covitz, Chris Downing. 2007

188 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/4fb2d27bc8e94271c925abbfade0b495b006880e

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Citations in the corpus

What Determines Euro Area Bank CDS Spreads (2010, unknown): “We follow Covitz & Downing (2007) and Chen, Lesmond & Wei (2007) among others, and use various estimators of historical volatilities.”
Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis (2012, background): “Earlier papers showing that liquidity proxies are signiﬁcant explanatory variables for credit spreads are Houweling, Mentink, and Vorst (2005), Downing, Underwood, and Xing (2005), de Jong and Driessen (2006), Sarig and Warga (1989), and Covitz and Downing (2007).”
How Effective Were the Federal Reserve Emergency Liquidity Facilities? Evidence from the Asset‐Backed Commercial Paper Money Market Mutual Fund Liquidity Facility (2013, background): “In a typical bid-back, the dealer, acting as intermediary between issuers and investors, buys previously issued paper from an investor, because the dealer expects to re-sell it to other investors.”
Corporate governance in the 2007–2008 financial crisis: Evidence from financial institutions worldwide (2012, methodology): “4 EDF is computed by Moody's KMV CreditMonitor implementation o f Merton's (1974) structural model and has been used in prior studies to capture credit risk (Covitz and Downing, 2007).”
The evolution of a financial crisis: panic in the asset-backed commercial paper market (2009, background): “See Downing and Oliner (2007), Musto (1997), and Covitz and Downing (2007) for discussions of year-end effects in the commercial paper market.”
Money creation and the shadow banking system (2015, background): “While secondary markets for commercial paper are not highly liquid (Covitz and Downing, 2007), the short maturity of ABCP allows investors to convert it into cash for transactions on short notice.”
Information Uncertainty, Information Asymmetry and Corporate Bond Yield Spreads (2010, background): “Covitz and Downing (2007) claimed that a simple liquidity proxy, current ratio, accurately explains short-term bond yield spreads.”
The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures (2012, unknown): “For a 18Equations (2) and (3) in Covitz and Downing (2007) give the spread effect of total trading volume and number of trades.”
Market discipline of banks: Why are yield spreads on bank-issued subordinated notes and debentures not sensitive to bank risks? (2011, background): “Contents lists available at ScienceDirect Journal of Banking & Finance journal homepage: www.elsevier .com/locate / jbf In contrast, Covitz and Downing (2007) find that default risk is a more important determinant of yield spreads than liquidity risk even in very short-term commercial paper that is…”