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pro vyhledávání: '"Jennifer Conrad"'
We analyze the impact of the introduction of credit default swaps (CDSs) on real decision-making within the firm. Our structural model predicts that CDS introduction increases debt capacity more when uncertainty about the credit events that trigger C
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::22c9a75aee53b7cce8ca306972adafa2
http://wrap.warwick.ac.uk/151037/7/WRAP-Credit-default-swaps-around-world-2021.pdf
http://wrap.warwick.ac.uk/151037/7/WRAP-Credit-default-swaps-around-world-2021.pdf
Publikováno v:
Journal of Financial Econometrics. 18:629-652
We propose a novel method of estimating default probabilities using equity options data. The resulting default probabilities are highly correlated with estimates of default probabilities extracted from CDS spreads, which assume constant losses given
Autor:
Jennifer Conrad
Publikováno v:
SAIS Review of International Affairs. 39:103-106
Autor:
M. Deniz Yavuz, Jennifer Conrad
Publikováno v:
Review of Finance. 21:555-581
Stocks in a momentum portfolio, which contribute to momentum profits, do not experience reversal in the long run. Conversely, stocks that do not contribute to momentum profits exhibit subsequent reversals. Merging these separate securities into a sin
Publikováno v:
SSRN Electronic Journal.
We analyze the impact of the introduction of credit default swaps (CDS) on real decision making within the firm, taking into consideration differences in firms’ local economic and legal environments. We extend the model of Bolton and Oehmke (2011)
Publikováno v:
Journal of Financial Economics. 116:271-291
We examine the relation between high frequency quotation and the behavior of stock prices between 2009 and 2011 for the full cross-section of securities in the U.S. On average, higher quotation activity is associated with price series that more close
Publikováno v:
Journal of Financial Economics. 113:455-475
Campbell, Hilscher, and Szilagyi (2008) show that firms with a high probability of default have abnormally low average future returns. We show that firms which have a high potential for default (‘death’) also tend to have a relatively high probab
Publikováno v:
Financial Analysts Journal. 72:14-16
The Financial Economists Roundtable, a group of distinguished senior financial economists, discusses current issues and future developments in the crowdfunding market and offers suggestions regarding the regulation of the industry.
Publikováno v:
The Journal of Finance. 68:85-124
We use a sample of option prices, and the method of Bakshi, Kapadia and Madan (2003), to estimate the ex ante higher moments of the underlying individual securities’ risk-neutral returns distribution. We find that individual securities’ volatilit
Autor:
Jennifer Conrad, Sunil Wahal
Publikováno v:
SSRN Electronic Journal.
We examine the term structure of liquidity provision in all stocks from 100 milliseconds to 600 seconds after each trade for 2000-2015. At a one second horizon, the aggregate price of liquidity provision, net of losses to information, fell from 17 ba