Credit default swaps (CDS) have grown to be a multi-trillion-dollar, globally important market.
The academic literature on CDS has developed in parallel with the market practices, public …

We investigate whether liquidity is an important price factor in the US corporate bond market.
In particular, we focus on whether liquidity effects are more pronounced in periods of …

We study the evolution of Korean chaebols (business groups) using ownership data. Chaebols
grow vertically (as pyramids) when the controlling family uses well-established group …

In this article, we present a new method for pricing and hedging American options along with
an efficient implementation procedure. The proposed method is efficient and accurate in …

Corporate Financial Decisions We will first illustrate some well-known propositions regarding
the effect of corporate financial policy in perfect capital markets. In all cases, the security …

We use credit default swaps (CDS) trading data to demonstrate that the credit risk of reference
firms, reflected in rating downgrades and bankruptcies, increases significantly upon the …

We employ a representative sample of 80,972 Italian firms to forecast the drop in profits and
the equity shortfall triggered by the COVID-19 lockdown. A 3-month lockdown generates an …

Credit default swaps (CDS) have been growing in importance in the global financial markets.
However, their role has been hotly debated, in industry and academia, particularly since …

In this paper, we model price dispersion effects in over-the-counter (OTC) markets to show
that, in the presence of inventory risk for dealers and search costs for investors, traded prices …

We examine recovery rates of defaulted bonds in the US corporate bond market, based on
a complete set of traded prices and volumes. A study of the trading microstructure around …