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Contagion and Excess Correlation in Credit Default Swaps
16 references·1 citing·39 second hop
Contagion and Excess Correlation in Credit Default Swaps (2011)Contagion and Excess Correlation in Credi…Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Deciphering the Liquidity and…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …In Search of Distress Risk (2008)In Search of Distress RiskAsset pricing with liquidity risk (2005)Asset pricing with liquidity …Default Risk in Equity Returns (2004)Default Risk in Equity ReturnsCorporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Market Timing and Capital Structure (2002)Market Timing and Capital Str…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)The information content of st…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…A Credit Spread Puzzle for Reduced-Form Models (2015)A Credit Spread Puzzle for Re…Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A five-factor asset pricing model (2014)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Liquidity and leverage (2008)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)A Contribution to the Theory of Economic Growth (1956)Increasing Returns and Long-Run Growth (1986)Law and Finance (1998)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)R2 around the world: New theory and new tests☆ (2005)Does board gender diversity improve the informativeness of stock prices? (2011)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Capital Structure Decisions: Which Factors Are Reliably Important? (2007)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Does Corporate Social Responsibility Affect the Cost of Capital? (2010)Determinants of corporate borrowing (1977)Bank lending during the financial crisis of 2008 (2009)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2002Market Timing and Capital Structure3,804 cited
  • 2000The information content of stock markets: why do emerging markets have synchronous stock price movements?3,332 cited
  • 2009Deciphering the Liquidity and Credit Crunch 2007–20083,326 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 2008In Search of Distress Risk2,232 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2004Default Risk in Equity Returns1,997 cited
  • 1991

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Common Factors Affecting Bond Returns
1,796 cited

Cited by

  • 2015A Credit Spread Puzzle for Reduced-Form Models24 cited