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Citations for "Market conditions, default risk and credit spreads"

by Tang, Dragon Yongjun & Yan, Hong

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  1. Güntay, Levent & Hackbarth, Dirk, 2010. "Corporate bond credit spreads and forecast dispersion," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2328-2345, October.
  2. Tor Jacobson & Jesper Lindé & Kasper Roszbach, 2011. "Firm default and aggregate fluctuations," International Finance Discussion Papers 1029, Board of Governors of the Federal Reserve System (U.S.).
  3. Magri, Silvia & Pico, Raffaella, 2011. "The rise of risk-based pricing of mortgage interest rates in Italy," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1277-1290, May.
  4. repec:hal:journl:halshs-00658540 is not listed on IDEAS
  5. Ann Marie Hibbert & Ivelina Pavlova & Joel Barber & Krishnan Dandapani, 2011. "Credit Spread Changes and Equity Volatility: Evidence from Daily Data," The Financial Review, Eastern Finance Association, vol. 46(3), pages 357-383, 08.
  6. Shah, Syed Noaman & Kebewar, Mazen, 2013. "US Corporate Bond Yield Spread. A default risk debate," EconStor Preprints 73690, ZBW - German National Library of Economics.
  7. repec:pab:wpbsad:12.07 is not listed on IDEAS
  8. Hongbiao Zhao, 2011. "Portfolio credit risk of default and spread widening," LSE Research Online Documents on Economics 43451, London School of Economics and Political Science, LSE Library.
  9. Chan, Kam Fong & Marsden, Alastair, 2014. "Macro risk factors of credit default swap indices in a regime-switching framework," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 285-308.
  10. Nielsen, Caren Yinxia Guo, 2011. "Is Default Risk Priced in Equity Returns?," Working Papers 2011:38, Lund University, Department of Economics.
  11. Chen, Tsung-Kang & Chen, Yan-Shing & Liao, Hsien-Hsing, 2011. "Labor unions, bargaining power and corporate bond yield spreads: Structural credit model perspectives," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2084-2098, August.
  12. De Bruyckere, Valerie & Gerhardt, Maria & Schepens, Glenn & Vander Vennet, Rudi, 2013. "Bank/sovereign risk spillovers in the European debt crisis," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4793-4809.
  13. Duchin, Ran & Sosyura, Denis, 2014. "Safer ratios, riskier portfolios: Banks׳ response to government aid," Journal of Financial Economics, Elsevier, vol. 113(1), pages 1-28.
  14. Pu, Xiaoling & Zhao, Xinlei, 2012. "Correlation in credit risk changes," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1093-1106.
  15. Dimitris A. Georgoutsos & Petros Migiakis, 2012. "Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?," Working Papers 143, Bank of Greece.
  16. Kara, Alper & Marqués-Ibáñez, David & Ongena, Steven, 2011. "Securitization and lending standards: evidence from the wholesale loan market," Working Paper Series 1362, European Central Bank.
  17. Chen, Tsung-Kang & Liao, Hsien-Hsing & Kuo, Hui-Ju, 2013. "Internal liquidity risk, financial bullwhip effects, and corporate bond yield spreads: Supply chain perspectives," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2434-2456.
  18. Chen, Tsung-Kang & Liao, Hsien-Hsing & Tsai, Pei-Ling, 2011. "Internal liquidity risk in corporate bond yield spreads," Journal of Banking & Finance, Elsevier, vol. 35(4), pages 978-987, April.
  19. Azamat Abdymomunov, 2013. "Regime-switching measure of systemic financial stress," Annals of Finance, Springer, vol. 9(3), pages 455-470, August.
  20. Dionne, Georges & Gauthier, Geneviève & Hammami, Khemais & Maurice, Mathieu & Simonato, Jean-Guy, 2011. "A reduced form model of default spreads with Markov-switching macroeconomic factors," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1984-2000, August.
  21. Naifar, Nader, 2012. "Modeling the dependence structure between default risk premium, equity return volatility and the jump risk: Evidence from a financial crisis," Economic Modelling, Elsevier, vol. 29(2), pages 119-131.
  22. V. De Bruyckere & M. Gerhardt & G. Schepens & R. Vander Vennet, 2012. "Bank/sovereign risk spillovers in the European debt crisis," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 12/828, Ghent University, Faculty of Economics and Business Administration.
  23. Kerstin Bernoth & Andreas Pick, 2009. "Forecasting the fragility of the banking and insurance sector," DNB Working Papers 202, Netherlands Central Bank, Research Department.
  24. Aretz, Kevin & Shackleton, Mark B., 2011. "Omitted debt risk, financial distress and the cross-section of expected equity returns," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1213-1227, May.
  25. de Jong, Abe & Verbeek, Marno & Verwijmeren, Patrick, 2011. "Firms' debt-equity decisions when the static tradeoff theory and the pecking order theory disagree," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1303-1314, May.
  26. Kalimipalli, Madhu & Nayak, Subhankar & Perez, M. Fabricio, 2013. "Dynamic effects of idiosyncratic volatility and liquidity on corporate bond spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2969-2990.
  27. Bethke, Sebastian & Kempf, Alexander & Trapp, Monika, 2013. "The correlation puzzle: The interaction of bond and risk correlation," CFR Working Papers 13-06, University of Cologne, Centre for Financial Research (CFR).
  28. Firestone, Simon & Rezende, Marcelo, 2013. "Are Banks' Internal Risk Parameters Consistent? Evidence from Syndicated Loans," Finance and Economics Discussion Series 2013-84, Board of Governors of the Federal Reserve System (U.S.).
  29. Huang, Hsing-Hua & Lee, Han-Hsing, 2013. "Product market competition and credit risk," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 324-340.
  30. Yang, Hsin-Feng & Liu, Chih-Liang & Chou, Ray Yeutien, 2014. "Interest rate risk propagation: Evidence from the credit crunch," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 242-264.
  31. Antonio Trujillo-Ponce & Reyes Samaniego-Medina & Clara Cardone-Riportella, 2012. "Examining what best explains corporate credit risk: accounting-based versus market-based models," Working Papers 12.03, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).
  32. repec:hal:cesptp:halshs-00658540 is not listed on IDEAS
  33. Jaqueline Terra Moura Marins & Myrian Beatriz Eiras das Neves, 2013. "Credit Default and Business Cycles: an investigation of this relationship in the Brazilian corporate credit market," Working Papers Series 304, Central Bank of Brazil, Research Department.
  34. Jiri Podpiera & Inci Ötker, 2010. "The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions," IMF Working Papers 10/153, International Monetary Fund.
  35. Andrade, Sandro C. & Bernile, Gennaro & Hood, Frederick M., 2014. "SOX, corporate transparency, and the cost of debt," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 145-165.
  36. Gabriela Nodari, 2013. "Financial Regulation Policy Uncertainty and Credit Spreads in the U.S," "Marco Fanno" Working Papers 0170, Dipartimento di Scienze Economiche "Marco Fanno".
  37. Naifar, Nader, 2011. "What explains default risk premium during the financial crisis? Evidence from Japan," Journal of Economics and Business, Elsevier, vol. 63(5), pages 412-430, September.
  38. Gemmill, Gordon & Keswani, Aneel, 2011. "Downside risk and the size of credit spreads," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2021-2036, August.