دانلود مقاله ISI انگلیسی شماره 48661
عنوان فارسی مقاله

نقدینگی، خروج نام و حق بیمه ریسک اعتباری

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
48661 2015 12 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Liquidity, delistings, and credit risk premium
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : International Review of Economics & Finance, Volume 35, January 2015, Pages 78–89

کلمات کلیدی
لغو نامگذاری - عدم نقدینگی - بیمه ریسک اعتباری
پیش نمایش مقاله
پیش نمایش مقاله نقدینگی، خروج نام و حق بیمه ریسک اعتباری

چکیده انگلیسی

Our study analyzes in detail the results of the credit risk effect by using data from the unique rating environment of Taiwanese stock markets. Even in distinct institutional settings, our empirical results reaffirm the well-known inverse relationship of returns and credit risk, which is robust with regard to cross-sectional and time-series scrutiny. We reveal that the underperformance of low-rated firms around their rating downgrades, when they are subject to both severe illiquidity and short-sale constraints, partially explains the abnormal returns of long–short portfolios, although the returns remain substantial when data associated with downgrades is removed. When targeting delisted firms, we observe that delistings among the lowest-rated firms exhibit extremely poor returns near the time of their downgrades. We find that the abnormal returns become insignificant in the long–short portfolio in the sample, from which delistings are excluded. Our empirical evidence suggests that market mispricing of delisted stocks near the time of their downgrades is a primary cause of the credit risk puzzle.

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