create a website

On the compensation for illiquidity in sovereign credit markets. (2014). Groba, Jonatan ; Serrano, Pedro ; Lafuente, Juan Angel.
In: DEE - Working Papers. Business Economics. WB.
RePEc:cte:wbrepe:wb142911.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 34

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Acharya, V.V., Amihud, Y., Bharath, S.T., 2013. Liquidity risk of corporate bond returns: A conditional approach. Journal of Financial Economics 110, 358–386.

  2. Arakelyan, A., Rubio, G., Serrano, P., 2013. Market-wide liquidity in credit default swap spreads. Working Paper.
    Paper not yet in RePEc: Add citation now
  3. Arghyrou, M.G., Kontonikas, A., 2012. The EMU sovereign-debt crisis: Fundamentals, expectations and contagion. Journal of International Financial Markets, Institutions & Money 22, 658–677.

  4. Bühler, W., Trapp, M., 2009. Time-varying credit risk and liquidity premia in bond and CDS markets. Working Paper.

  5. Bao, J., Pan, J., Wang, J., 2011. The illiquidity of corporate bonds. The Journal of Finance 66, 911–946.

  6. Beber, A., Brandt, M.W., Kavajecz, K.A., 2009. Flight-to-quality or flight-toliquidity ? Evidence from the euro-area bond market. The Review of Financial Studies 22, 925–957.

  7. Berndt, A., Douglas, R., Duffie, D., Ferguson, M., Schranz, D., 2005. Measuring default risk premia from default swap rates and EDFs. Working Paper.

  8. Blanco, R., Brennan, S., Marsh, I.W., 2005. An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps. The Journal of Finance 60, 2255–2281.

  9. Bongaerts, D., Jong, F.D., Driessen, J., 2011. Derivative pricing with liquidity risk: theory and evidence from the credit default swap market. The Journal of Finance 66, 203–240.

  10. Chen, R.R., Cheng, X., Wu, L., 2013. Dynamic interactions between interest-rate and credit risk: Theory and evidence on the credit default swap term structure.

  11. Collin-Dufresne, P., Goldstein, R.S., Martin, J.S., 2001. The determinants of credit spread changes. The Journal of Finance 56, 2177–2207.

  12. De Jong, F., Driessen, J., 2012. Liquidity risk premia in corporate bond markets.

  13. Duffie, D., Singleton, K.J., 1997. An econometric model of the term structure of interest-rate swap yields. The Journal of Finance 52, 1287–1321.

  14. Ericsson, J., Jacobs, K., Oviedo, R., 2009. The determinants of credit default swap premia. Journal of Financial and Quantitative Analysis 44, 109–132.

  15. Fontaine, J.S., Garcia, R., 2012. Bond liquidity premia. The Review of Financial Studies 25, 1207–1254.

  16. Garman, M.B., Klass, M.J., 1980. On the estimation of security price volatilities from historical data. The Journal of Business 53, 67–78.

  17. Goyenko, R., Subrahmanyam, A., Ukhov, A., 2011. The term structure of bond market liquidity and its implications for expected bond returns. Journal of Financial and Quantitative Analysis 46, 111–139.

  18. Groba, J., Lafuente, J.A., Serrano, P., 2013. The impact of distressed economies on the EU sovereign market. Journal of Banking & Finance 37, 2520–2532.

  19. Hilscher, J., Nosbusch, Y., 2010. Determinants of sovereign risk: Macroeconomic fundamentals and the pricing of sovereign debt. Review of Finance 14, 1–28.

  20. Hu, G.X., Pan, J., Wang, J., 2013. Noise as information for illiquidity. The Journal of Finance 68, 2341–2382.

  21. Jarrow, R.A., Lando, D., Yu, F., 2005. Default risk and diversification: Theory and empirical implications. Mathematical Finance 15, 1–26.

  22. Krishnamurthy, A., Vissing-Jorgensen, A., 2012. The aggregate demand for treasury debt. Journal of Political Economy 120, 233–267.

  23. Lando, D., 1998. On Cox processes and credit risky securities. Review of Derivatives Research 2, 99–120.
    Paper not yet in RePEc: Add citation now
  24. Lando, D., 2004. Credit Risk Modeling: Theory and Applications. Princeton University Press.
    Paper not yet in RePEc: Add citation now
  25. Lin, H., Liu, S., Wu, C., 2009. Liquidity premia in the credit default swap and corporate bond markets. Working Paper.
    Paper not yet in RePEc: Add citation now
  26. Lin, H., Wang, J., Wu, C., 2011. Liquidity risk and expected corporate bond returns. Journal of Financial Economics 99, 628–650.

  27. Liu, J., Longstaff, F.A., Mandell, R.E., 2006. The market price of risk in interest rate swaps: the roles of default and liquidity risks. Journal of Business 79, 2337–2359.

  28. Longstaff, F.A., Mithal, S., Neis, E., 2005. Corporate yield spreads: Default risk or liquidity? New evidence from the credit default swap market. The Journal of Finance 60, 2213–2253.

  29. Longstaff, F.A., Pan, J., Pedersen, L.H., Singleton, K.J., 2011. How sovereign is sovereign credit risk? American Economic Journal: Macroeconomics 3, 75–103.

  30. Pan, J.U.N., Singleton, K.J., 2008. Default and recovery implicit in the term structure of sovereign CDS spreads. The Journal of Finance 63, 2345–2384.

  31. Quarterly Journal of Finance 02. Dieckmann, S., Plank, T., 2012. Default risk of advanced economies: An empirical analysis of credit default swaps during the financial crisis. Review of Finance 16, 902–934.

  32. Review of Finance 17, 403–441. Chen, R.R., Fabozzi, F.J., Sverdlove, R., 2010. Corporate credit default swap liquidity and its implications for corporate bond spreads. The Journal of Fixed Income 20, 31–57.
    Paper not yet in RePEc: Add citation now
  33. Tang, D.Y., Yan, H., 2007. Liquidity and credit default swap spreads. Working Paper.
    Paper not yet in RePEc: Add citation now
  34. Zinna, G., 2013. Sovereign default risk premia: Evidence from the default swap market. Journal of Empirical Finance 21, 15–35.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Integrating Solvency and Liquidity Stress Tests: The Use of Markov Regime-Switching Models. (2019). Leika, Mindaugas ; Han, Fei.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2019/250.

    Full description at Econpapers || Download paper

  2. Idiosyncratic volatility, conditional liquidity and stock returns. (2018). Malagon, Juliana ; Rodriguez, Rosa ; Moreno, David.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:53:y:2018:i:c:p:118-132.

    Full description at Econpapers || Download paper

  3. State-varying illiquidity risk in sovereign bond spreads. (2018). Docherty, Paul ; Easton, Steve.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:50:y:2018:i:c:p:235-248.

    Full description at Econpapers || Download paper

  4. Exploring the sources of default clustering. (2018). Azizpour, S ; Schwenkler, G ; Giesecke, K.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:129:y:2018:i:1:p:154-183.

    Full description at Econpapers || Download paper

  5. Behavioral biases in the corporate bond market. (2018). Wei, Jason .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:46:y:2018:i:c:p:34-55.

    Full description at Econpapers || Download paper

  6. Liquidity tail risk and credit default swap spreads. (2018). Irresberger, Felix ; Gabrysch, Sandra.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:269:y:2018:i:3:p:1137-1153.

    Full description at Econpapers || Download paper

  7. Managing the sovereign-bank nexus. (2018). Popov, Alexander ; Minoiu, Camelia ; Martin, Alberto ; Laeven, Luc ; Jenkinson, Nigel ; Ferreira, Caio ; Dell'Ariccia, Giovanni.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20182177.

    Full description at Econpapers || Download paper

  8. Effects of Brexit on Corporate Yield Spreads: Evidence from UK and Eurozone Corporate Bond Markets. (2018). Kadiric, Samir ; Korus, Arthur.
    In: EIIW Discussion paper.
    RePEc:bwu:eiiwdp:disbei251.

    Full description at Econpapers || Download paper

  9. Does illiquidity matter in residential properties?. (2017). Hwang, Soosung ; Shin, Jinho ; Cho, Youngha .
    In: Applied Economics.
    RePEc:taf:applec:v:49:y:2017:i:1:p:1-20.

    Full description at Econpapers || Download paper

  10. Oil Prices and Informational Frictions: The Time-Varying Impact of Fundamentals and Expectations. (2017). Xu, Bing ; Lorusso, Marco ; Byrne, Joseph.
    In: MPRA Paper.
    RePEc:pra:mprapa:80668.

    Full description at Econpapers || Download paper

  11. Commonality in Liquidity and Real Estate Securities. (2017). Hoesli, Martin ; Reka, Kustrim ; Kadilli, Anjeza .
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:55:y:2017:i:1:d:10.1007_s11146-016-9554-3.

    Full description at Econpapers || Download paper

  12. Japan; Financial Sector Assessment Program-Technical Note-Systemic Risk Analysis and Stress Testing the Financial Sector. (2017). International Monetary Fund, .
    In: IMF Staff Country Reports.
    RePEc:imf:imfscr:2017/285.

    Full description at Econpapers || Download paper

  13. Oil Prices and Informational Frictions: The Time-Varying Impact of Fundamentals and Expectations. (2017). Lorusso, Marco ; Byrne, Joseph ; Xu, Bing.
    In: CEERP Working Paper Series.
    RePEc:hwc:wpaper:006.

    Full description at Econpapers || Download paper

  14. Investor sentiment, flight-to-quality, and corporate bond comovement. (2017). Bethke, Sebastian ; Kempf, Alexander ; Gehde-Trapp, Monika.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:82:y:2017:i:c:p:112-132.

    Full description at Econpapers || Download paper

  15. Liquidity and the implied cost of equity capital. (2017). Saad, Mohsen ; Samet, Anis.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:51:y:2017:i:c:p:15-38.

    Full description at Econpapers || Download paper

  16. What drives the liquidity of sovereign bonds when markets are under stress? An assessment of the new Basel 3 rules on bank liquid assets. (2017). Petrella, Giovanni ; Resti, Andrea.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:33:y:2017:i:c:p:297-310.

    Full description at Econpapers || Download paper

  17. Liquidity measures throughout the lifetime of the U.S. Treasury bond. (2017). Diaz, Antonio ; Escribano, Ana .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:33:y:2017:i:c:p:42-74.

    Full description at Econpapers || Download paper

  18. Funding liquidity, market liquidity and TED spread: A two-regime model. (2017). Rosenthal, Dale ; Dale, ; Boudt, Kris.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:43:y:2017:i:c:p:143-158.

    Full description at Econpapers || Download paper

  19. Effects of Liquidity on the Non-Default Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data. (2016). Han, Song ; Zhou, Hao.
    In: Quarterly Journal of Finance (QJF).
    RePEc:wsi:qjfxxx:v:06:y:2016:i:03:n:s2010139216500129.

    Full description at Econpapers || Download paper

  20. Illiquidity Transmission in a Three-Country Framework: A Conditional Approach. (2016). Fiesel, Stefan ; Uhrig-Homburg, Marliese.
    In: Schmalenbach Business Review.
    RePEc:spr:schmbr:v:17:y:2016:i:3:d:10.1007_s41464-016-0016-5.

    Full description at Econpapers || Download paper

  21. On the determinants of expected corporate bond returns in Tunisia. (2016). Hammami, Yacine ; Bahri, Maha .
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:38:y:2016:i:c:p:224-235.

    Full description at Econpapers || Download paper

  22. Risk protection from risky collateral: Evidence from the euro bond market. (2016). Lindset, Snorre ; Helberg, Stig.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:70:y:2016:i:c:p:193-213.

    Full description at Econpapers || Download paper

  23. Return predictability in the corporate bond market along the supply chain. (2016). Zhang, Weina ; Chen, Long.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:29:y:2016:i:c:p:66-86.

    Full description at Econpapers || Download paper

  24. CDS-bond basis and bond return predictability. (2016). Zhang, Weina ; Li, Haitao.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:38:y:2016:i:pa:p:307-337.

    Full description at Econpapers || Download paper

  25. European bond markets: Do illiquidity and concentration aggravate price shocks?. (2016). Frost, Jon ; Boermans, Martijn ; Bisschop, Sophie Steins .
    In: Economics Letters.
    RePEc:eee:ecolet:v:141:y:2016:i:c:p:143-146.

    Full description at Econpapers || Download paper

  26. Gold returns: Do business cycle asymmetries matter? Evidence from an international country sample. (2016). Apergis, Nicholas ; Eleftheriou, Sofia .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:57:y:2016:i:c:p:164-170.

    Full description at Econpapers || Download paper

  27. Stock market liquidity and economic cycles: A non-linear approach. (2016). Switzer, Lorne ; Picard, Alan .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:57:y:2016:i:c:p:106-119.

    Full description at Econpapers || Download paper

  28. The bond event study methodology since 1974. (2016). Maul, D ; Schiereck, D.
    In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
    RePEc:dar:wpaper:80723.

    Full description at Econpapers || Download paper

  29. An empirical analysis of Eurozone government bonds liquidity: Determinants, predictability and implications for the new bank prudential rules. (2016). Resti, Andrea ; Petrella, Giovanni.
    In: BAFFI CAREFIN Working Papers.
    RePEc:baf:cbafwp:cbafwp1645.

    Full description at Econpapers || Download paper

  30. Investor sentiment, flight-to-quality, and corporate bond comovement. (2015). Bethke, Sebastian ; Kempf, Alexander ; Gehde-Trapp, Monika.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1306r3.

    Full description at Econpapers || Download paper

  31. Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns. (2015). Novales, Alfonso ; Rubio, Gonzalo ; Nieto, Belen.
    In: Quarterly Journal of Finance (QJF).
    RePEc:wsi:qjfxxx:v:05:y:2015:i:04:n:s2010139215500214.

    Full description at Econpapers || Download paper

  32. Is Loan Dollarization Contagious across Countries? Evidence from Transition Economies. (2015). Savva, Christos ; Neanidis, Kyriakos.
    In: Centre for Growth and Business Cycle Research Discussion Paper Series.
    RePEc:man:cgbcrp:200.

    Full description at Econpapers || Download paper

  33. Liquidity effects and FFA returns in the international shipping derivatives market. (2015). VISVIKIS, ILIAS ; Tsouknidis, Dimitris ; Alizadeh, Amir H. ; Kappou, Konstantina .
    In: Transportation Research Part E: Logistics and Transportation Review.
    RePEc:eee:transe:v:76:y:2015:i:c:p:58-75.

    Full description at Econpapers || Download paper

  34. The reward for trading illiquid maturities in credit default swap markets. (2015). Arakelyan, Armen ; Serrano, Pedro ; Rubio, Gonzalo.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:39:y:2015:i:c:p:376-389.

    Full description at Econpapers || Download paper

  35. On the compensation for illiquidity in sovereign credit markets. (2015). Lafuente, Juan Angel ; Serrano, Pedro.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:30:y:2015:i:c:p:83-100.

    Full description at Econpapers || Download paper

  36. Limits to arbitrage and the term structure of bond illiquidity premiums. (2015). Schuster, Philipp ; Uhrig-Homburg, Marliese.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:57:y:2015:i:c:p:143-159.

    Full description at Econpapers || Download paper

  37. Liquidity, credit quality, and the relation between volatility and trading activity: Evidence from the corporate bond market. (2015). Wu, Chunchi ; Wang, Junbo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:50:y:2015:i:c:p:183-203.

    Full description at Econpapers || Download paper

  38. Time-varying systematic and idiosyncratic risk exposures of US bank holding companies. (2015). Kurmann, Philipp ; Bessler, Wolfgang ; Nohel, Tom.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:35:y:2015:i:c:p:45-68.

    Full description at Econpapers || Download paper

  39. Liquidity shocks and stock bubbles. (2015). Nneji, Ogonna .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:35:y:2015:i:c:p:132-146.

    Full description at Econpapers || Download paper

  40. Investor sentiment, flight-to-quality, and corporate bond comovement. (2014). Kempf, Alexander ; Bethke, Sebastian ; Gehde-Trapp, Monika.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1306r2.

    Full description at Econpapers || Download paper

  41. Investor sentiment, flight-to-quality, and corporate bond comovement. (2014). Kempf, Alexander ; Bethke, Sebastian ; Trapp, Monika .
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1306r.

    Full description at Econpapers || Download paper

  42. Corporate Transparency and Bond Liquidity. (2014). Füss, Roland ; Fecht, Falko ; Fuss, Roland ; ROLAND FÜSS, ; Rindler, Philipp B..
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2014:04.

    Full description at Econpapers || Download paper

  43. Liquidity Risk Premia in the International Shipping Derivatives Market. (2014). VISVIKIS, ILIAS ; Alizadeh, Amir ; Kappou, Konstantina ; Tsouknidis, Dimitris .
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2014-15.

    Full description at Econpapers || Download paper

  44. The determinants of credit spreads changes in global shipping bonds. (2014). Tsouknidis, Dimitris ; Kavussanos, Manolis.
    In: Transportation Research Part E: Logistics and Transportation Review.
    RePEc:eee:transe:v:70:y:2014:i:c:p:55-75.

    Full description at Econpapers || Download paper

  45. Corporate bond returns and the financial crisis. (2014). Ozel, Bugra N. ; Hughes, John S. ; Aboody, David.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:40:y:2014:i:c:p:42-53.

    Full description at Econpapers || Download paper

  46. Bank risk factors and changing risk exposures: Capital market evidence before and during the financial crisis. (2014). Kurmann, Philipp ; Bessler, Wolfgang .
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:13:y:2014:i:c:p:151-166.

    Full description at Econpapers || Download paper

  47. Stock liquidity and the Taylor rule. (2014). Jiang, Lei.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:28:y:2014:i:c:p:202-214.

    Full description at Econpapers || Download paper

  48. On the compensation for illiquidity in sovereign credit markets. (2014). Groba, Jonatan ; Serrano, Pedro ; Lafuente, Juan Angel.
    In: DEE - Working Papers. Business Economics. WB.
    RePEc:cte:wbrepe:wb142911.

    Full description at Econpapers || Download paper

  49. What drives corporate default risk premia? Evidence from the CDS market. (2013). Diaz, Antonio ; Serrano, Pedro ; Groba, Jonatan .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:37:y:2013:i:c:p:529-563.

    Full description at Econpapers || Download paper

  50. Return dispersion, stock market liquidity and aggregate economic activity. (2013). Floros, Christos ; Degiannakis, Stavros ; Andrikopoulos, Andreas ; Angelidis, Timotheos.
    In: Working Papers.
    RePEc:bog:wpaper:166.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-03-01 00:20:57 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.

pFad - Phonifier reborn

Pfad - The Proxy pFad of © 2024 Garber Painting. All rights reserved.

Note: This service is not intended for secure transactions such as banking, social media, email, or purchasing. Use at your own risk. We assume no liability whatsoever for broken pages.


Alternative Proxies:

Alternative Proxy

pFad Proxy

pFad v3 Proxy

pFad v4 Proxy