Economics and Finance Faculty Publications and Presentations
Document Type
Article
Publication Date
9-2018
Abstract
We empirically test the theoretical prediction of the impact of debt market liquidity on correlated default risk. Confirming the theory, our results indicate that the lower debt market liquidity, leads to an economically significant increase in the correlated default risk. Also consistent with theory, we show that this effect is more pronounced for short-term debt.
Recommended Citation
Javadi, S., & Mollagholamali, M. (2018). Debt market illiquidity and correlated default risk. Finance Research Letters, 26, 266–273. https://doi.org/10.1016/j.frl.2018.02.002
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Publication Title
Finance Research Letters
DOI
10.1016/j.frl.2018.02.002
Comments
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