Endogenous Liquidity and Defaultable Bonds

209 citations recorded by the source corpus.

Subfields: Finance

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When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response (2020, unknown): “13 In addition, for more risky firms, one could expect the disruption to feed back into default risk as suggested by He and Xiong (2012) and He and Milbradt (2014).”
Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle (2018, unknown): “For example, Longstaff et al. [2005] estimate that the default component explains about 50% of the spread between the yields of Aaa/Aa-rated bonds and Treasury bonds, and about 70% of the spreads of Baa-rated bonds.”
The Determinants of Recovery Rates in the US Corporate Bond Market (2014, background): “33 This implication of low liquidity of defaulted bonds has been recently discussed theoretically by He and Milbradt (2013), who incorporate liquidity eﬀects immediately after default in their credit risk model. employees seem to matter for nonﬁnancial and speculative-grade bonds; e.g., an increase…”
Leverage Dynamics without Commitment (2021, unknown): “(Another possible force favoring short-term debt is investors’ liquidity preference, which is modeled in He and Milbradt (2014).)”