债务人破产对无担保债权人股票流动性的动态影响

IF 6.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Stability Pub Date : 2024-08-25 DOI:10.1016/j.jfs.2024.101322

Dinh Trung Nguyen , Thu Phuong Pham , Ngoc Anh Tran , Ralf Zurbruegg

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引用次数: 0

摘要

本文利用债务人宣布破产后无担保债权人的数据，探讨了交易对手风险对股票流动性的动态影响。通过配对固定效应面板回归，我们发现无担保债权人的流动性在债务人宣布破产后会降低，但只是在短期内。这表现在各种利差指标和 Kyle's (1985) lambda 值的增加，以及无担保债权人和匹配公司股票之间出价深度差的减少。此外，我们还发现信贷风险越大，流动性的下降幅度也越大。从长期来看，债务人破产似乎对价差指标没有影响。相反，无担保债权人股票的市场深度有所提高。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The dynamic effects of debtor bankruptcy on unsecured creditors' stock liquidity

This paper explores the dynamic effects of counterparty risk on stock liquidity using data on unsecured creditors after a debtor has declared bankruptcy. Through matched pair fixed effect panel regressions, we find that liquidity for unsecured creditors reduces after such declarations but only in the short term. This is evidenced by increases in various spread measures and Kyle's (1985) lambda and decreases in the bid depth differentials between the stocks of the unsecured creditors and the matched firms. Additionally, we find the greater the credit exposure, the greater the decline in liquidity. In the long term, debtor bankruptcies appear to have no effect on spread measures. Rather, the market depth for unsecured creditor stocks improves.

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来源期刊

Journal of Financial Stability Multiple-

CiteScore

7.70

自引率

9.30%

发文量

审稿时长

34 days

期刊介绍： The Journal of Financial Stability provides an international forum for rigorous theoretical and empirical macro and micro economic and financial analysis of the causes, management, resolution and preventions of financial crises, including banking, securities market, payments and currency crises. The primary focus is on applied research that would be useful in affecting public policy with respect to financial stability. Thus, the Journal seeks to promote interaction among researchers, policy-makers and practitioners to identify potential risks to financial stability and develop means for preventing, mitigating or managing these risks both within and across countries.