Endogenous Liquidity and Defaultable Bonds

DOI10.3982/ECTA11039MaRDI QIDQ4615884zbMATH OpenOpenAlexFDO

Authors ZhiGuo He, Konstantin Milbradt

Publication date 29 January 2019

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ecta11039

zbMATH Keywords

bid-ask spreadpositive feedbackliquidityover-the-counter marketsecondary bond marketstructural models for credit risktransaction cost for corporate bonds

Mathematics Subject Classification ID

Credit risk (91G40) Corporate finance (dividends, real options, etc.) (91G50)

Recommendations

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Cited in

(15)

• Credit spreads, endogenous bankruptcy and liquidity risk
• Shadow banks, leverage risks, and asset prices
• Asset pledgeability and endogenously leveraged bubbles
• Does performance-sensitive debt mitigate debt overhang?
• Sovereign illiquidity and recessions.
• Wealth management products, banking competition, and stability: evidence from China
• Yield spreads and the corporate bond rollover channel
• On the relationship between stock liquidity and corporate bond credit spreads
• Liquidation, fire sales, and acquirers' private information
• The shadow costs of repos and bank liability structure
• ENDOGENOUS PROCYCLICAL LIQUIDITY, CAPITAL REALLOCATION, AND q
• Pricing vulnerable options with jump risk and liquidity risk
• Credit market frictions and capital structure dynamics
• The effects of asset liquidity on dynamic sell-out and bankruptcy decisions
• Market-making with search and information frictions

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