The COVID-19 pandemic provides a unique setting in which to evaluate the importance of a
country's fiscal capacity in explaining the relation between economic growth shocks and …

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 …

We provide a synthesis of the empirical evidence on market liquidity. The liquidity
measurement literature has established standard measures of liquidity that apply to broad …

We study the impact of sovereign risk on the credit risk of the non-financial corporate sector
in the Eurozone using credit default swap data. We show that an increase in sovereign credit …

The first Greek bailout on April 11, 2010 triggered a significant reevaluation of sovereign
credit risk across Europe. We exploit this event to examine the transmission of sovereign to …

We investigate the effect of sovereign credit ratings on bank credit ratings, known as the
sovereign effect. Our study differs from the literature in three respects. First, we examine …

Purpose The paper examines the impact of the deteriorating fiscal conditions of Eurozone
countries on spillover effects on bank credit margins. It is investigated whether these effects …

This study examines the short-and long-run effects of corporate social responsibility (CSR)
activities on the credit risk implied in credit derivative prices. Measuring the different term …

Despite abundant empirical evidence of informed trading ahead of major corporate events,
no such evidence has been reported in the case of corporate spinoff (SP) announcements …

We use corporate bond data from firms belonging to 13 emerging markets and eight
industries from 2007 to 2013 to study whether and how country and industry effects …