JEL Classification G14
"Information and Market Efficiency; Event Studies"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the G14 classification. (sorted by date) Rethinking Capital Structure Arbitrage
by Davide Avino of University of Reading, and
Emese Lazar of University of Reading
(739K PDF) -- 28 pages -- November 2012 Compensation Incentives of Credit Rating Agencies and Predictability of Changes in Bond Ratings and Financial Strength Ratings
by Andreas Milidonis of University of Cyprus
(538K PDF) -- 48 pages -- September 26, 2012 Qui, Jiaping, Fan Yu, "Endogenous Liquidity in Credit Derivatives", Journal of Financial Economics, Vol. 103, No. 3, (March 2012), pp. 611-631. Did CDS Trading Improve the Market for Corporate Bonds?
by Sanjiv Das of Santa Clara University,
Madhu Kalimipalli of Wilfrid Laurier University, and
Subhankar Nayak of Wilfrid Laurier University
(279K PDF) -- 50 pages -- August 24, 2011 Systemic Risk Contributions
by Xin Huang of the Federal Reserve Board,
Hao Zhou of the Federal Reserve Board, and
Haibin Zhu of the Federal Reserve Board
(514K PDF) -- 49 pages -- January 2011 Credit Allocation, Capital Requirements and Procyclicality
by Esa Jokivuolle of the Bank of Finland,
Ilkka Kiema of the University of Helsinki, and
Timo Vesala of the Tapiola Group
(514K PDF) -- 49 pages -- October 28, 2010 A Simple Empirical Model of Equity-Implied Probabilities of Default
by Edward Altman of the New York University,
Neil Fargher of the New York University, and
Egon Kalotay of the Australian National University
(277K PDF) -- 27 pages -- October 24, 2010 Does a Central Clearing Counterparty Reduce Counterparty Risk?
by Darrell Duffie of Stanford University, and
Haoxiang Zhu of Stanford University
(170K PDF) -- 30 pages -- July 24, 2010 2008 SEC Short Selling Ban: Impacts on the credit default swap market
by Samuel Courtney of Stanford University
(1263K PDF) -- 38 pages -- May 19, 2010 Is there a Distress Risk Anomaly? Corporate bond spread as a proxy for default risk
by Deniz Anginer of University of Michigan, and
Çelim Yıldızhan of University of Michigan
(492K PDF) -- 47 pages -- January 18, 2010 The Information Content of Option-Implied Volatility for Credit Default Swap Valuation
by Charles Cao of the Pennsylvania State University & China Center for Financial Research,
Fan Yu of the Claremont McKenna College, and
Zhaodong Zhong of the Rutgers University
(276K PDF) -- 38 pages -- September 9, 2009 A Framework for Assessing the Systemic Risk of Major Financial Institutions
by Xin Huang of the University of Oklahoma,
Hao Zhou of the Federal Reserve Board, and
Haibin Zhu of the Bank for International Settlements
(377K PDF) -- 44 pages -- April 2009 Tightening Credit Standards: The role of accounting quality
by Philippe Jorion of the University of California, Irvine,
Charles Shi of the University of California, Irvine, and
Sanjian Zhang of Lehigh University
(595K PDF) -- 38 pages -- March 2009 The Use (and Abuse) of CDS Spreads During Distress
by Manmohan Singh of the International Monetary Fund, and
Carolyne Spackman of the International Monetary Fund
(705K PDF) -- 13 pages -- March 2009 The Future of Securitization
by Günter Franke of the University of Konstanz & Goethe University, and
Jan Pieter Krahnen of Goethe-University Frankfurt
(321K PDF) -- 59 pages -- November 28, 2008 Rating Watchlists and the Informational Content of Rating Changes
by Christian Hirsch of Goethe-University Frankfurt, and
Christina E. Bannier of Frankfurt School of Finance and Management
(209K PDF) -- 40 pages -- September 2, 2008 Optimal Investment in a Defaultable Bond
by Peter Lakner of New York University, and
Weijian Liang of New York University
(647K PDF) -- 28 pages -- June 2008 How has CDO Market Pricing Changed During the Turmoil: Evidence from CDS index tranches
by Martin Scheicher of the European Central Bank
(1,006K PDF) -- 46 pages -- June 2008 Using Securities Market Information for Bank Supervisory Monitoring
by John Krainer of the Federal Reserve Bank of San Francisco, and
Jose A. Lopez of the Federal Reserve Bank of San Francisco
(296K PDF) -- 40 pages -- March 2008 An Early Warning Model for EU Banks with Detection of the Adverse Selection Effect
by Olivier Brossard of IEP Toulouse & Université Toulouse 1,
Frédéric Ducrozet of Paris Sciences Economiques & Crédit Agricole SA, and
Adrian Roche of Université Paris X & Crédit Agricole SA
(495K PDF) -- 24 pages -- April 2007 Credit Derivatives and Sovereign Debt Crises
by Benedikt Goderis of the University of Oxford, and
Wolf Wagner of Cambridge University & Tilburg University
(209K PDF) -- 32 pages -- March 23, 2007 Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle
by Alexander David of the University of Calgary
(692K PDF) -- 56 pages -- November 2006 Default Risk, Shareholder Advantage and Stock Returns
by Lorenzo Garlappi of the University of Texas at Austin,
Tao Shu of the University of Texas at Austin, and
Hong Yan of the University of Texas at Austin and SEC
(311K PDF -- 48 pages -- July 2006 Determinants of Spreads on Sovereign Bank Loans: The role of credit history
by Peter Benczur of Magyar Nemzeti Bank & Central European University, and
Cosmin Ilut of Northwestern University
(858K PDF) -- 29 pages -- November 2005 Corporate Credit Risk Changes: Common Factors and Firm-Level Fundamentals
by Doron Avramov of the University of Maryland,
Gergana Jostova of George Washington University, and
Alexander Philipov of American University
(268K PDF) -- 39 pages -- September 22, 2005 Insider Trading in Credit Derivatives
by Viral V. Acharya of the London Business School, and
Timothy C. Johnson of the London Business School
(299K PDF) -- 45 pages -- September 2005 The Pricing of Unexpected Credit Losses
by Jeffery D. Amato of the Bank for International Settlements, and
Eli M. Remolona of the Bank for International Settlements
(254K PDF) -- 41 pages -- May 2005 Implied Migration Rates from Credit Barrier Models
by Claudio Albanese of Imperial College London, and
Oliver X. Chen of the National University of Singapore
(493K PDF) -- 38 pages -- March 11, 2005 Non-Linear Effects of Bond Rating Changes
by Philippe Jorion of the University of California, Irvine, and
Gaiyan Zhang of the University of California, Irvine
(166K PDF) -- 34 pages -- March 2005 Yu, Fan, " Accounting Transparency and the Term Structure of Credit Spreads", Journal of Financial Economics, Vol. 75, No. 1, (January 2005), pp. 53-84. Informational Efficiency of Loans Versus Bonds: Evidence from Secondary Market Prices
by Edward Altman of New York University,
Amar Gande of Vanderbilt University, and
Anthony Saunders of New York University
(266K PDF) -- 45 pages -- December 2004 Adverse Selection, Moral Hazard and the Term Structure of Default
by Koresh Galil of the Goethe University of Frankfurt & Tel-Aviv University
(511K PDF) -- 43 pages -- March 2004 Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets
by Jorge A. Chan-Lau of the International Monetary Fund, and
Yoon Sook Kim of the International Monetary Fund
(1,652K PDF) -- 31 pages -- February 2004 Measuring Treasury Market Liquidity
by Michael J. Fleming of the Federal Reserve Bank of New York
(335K PDF) -- 26 pages -- September 2003 An Examination of Rating Agencies' Actions Around the Investment-Grade Boundary
by Richard Johnson of the Federal Reserve Bank of Kansas City
(394K PDF) -- 34 pages -- February 2003 Which Factors Affect Corporate Bond Pricing? Evidence from Eurobonds Primary Market Spreads
by Andrea Sironi of Bocconi University, and
Giampaolo Gabbi of the Universita di Siena
(182K PDF) -- 48 pages -- September 2002 Akhigbe, Aigbe, and Jeff Madura. " Why do contagion effects vary among bank failures?", Journal of Banking & Finance, Vol. 25, No. 4, (April 2001), The University of Akron, and Florida Atlantic University, pp. 657-680. Morck, Randall, Bernard Yeung, and Wayne Yu, " The Information Content of Stock Markets: Why do emerging markets have synchronous stock price movements?", Journal of Financial Economics, Vol. 58, No. 1, (October 2000), pp. 215-260. Liquidity in U.S. Fixed Income Markets: A comparison of the bid-ask spread in corporate, government and municipal bond markets
by Sugato Chakravarty of Purdue University, and
Asani Sarkar of Federal Reserve Bank of New York
(192K PDF) -- 43 pages -- March 15, 1999 Public Disclosure and Bank Failures
by Tito Cordella of the International Monetary Fund, and
Eduardo Levy Yeyati of the International Monetary Fund
(1,219K PDF) -- 22 pages -- March 1998 Eberhart, Allan C., Richard J. Sweeney, " A Note on Noise in the Market for Bankrupt Firms' Securities", Journal of Banking & Finance, Vol. 20, No. 2, Georgetown University, (March 1996), pp. 401-415. Brennan, Michael J. and Avanidhar Subrahmanyam, " Market Microstructure and Asset Pricing: On the compensation for illiquidity in stock returns", Journal of Financial Economics, Vol. 41, (1996), pp. 441-464.
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