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.

Comments

© 2018 Elsevier Inc. All rights reserved.

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Publication Title

Finance Research Letters

DOI

10.1016/j.frl.2018.02.002

Included in

Finance Commons

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