JEL Classification G14
"Information and Market Efficiency; Event Studies"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the G14 classification. (sorted by date) A Framework for Assessing the Systemic Risk of Major Financial Institutions
by Xin Huang of the University of Oklahoma,
Hao Zhou of the Federal Reserve Board, and
Haibin Zhu of the Bank for International Settlements
(377K PDF) -- 44 pages -- April 2009 The Use (and Abuse) of CDS Spreads During Distress
by Manmohan Singh of the International Monetary Fund, and
Carolyne Spackman of the International Monetary Fund
(705K PDF) -- 13 pages -- March 2009 The Future of Securitization
by Günter Franke of the University of Konstanz & Goethe University, and
Jan Pieter Krahnen of Goethe-University Frankfurt
(321K PDF) -- 59 pages -- November 28, 2008 Pricing of Default Risk Revisited: Corporate bond spread as a proxy for default risk
by Deniz Anginer of University of Michigan, and
Çelim Yıldızhan of University of Michigan
(524K PDF) -- 33 pages -- November 24, 2008 Rating Watchlists and the Informational Content of Rating Changes
by Christian Hirsch of Goethe-University Frankfurt, and
Christina E. Bannier of Frankfurt School of Finance and Management
(209K PDF) -- 40 pages -- September 2, 2008 How has CDO Market Pricing Changed During the Turmoil: Evidence from CDS index tranches
by Martin Scheicher of the European Central Bank
(1,006K PDF) -- 46 pages -- June 2008 Using Securities Market Information for Bank Supervisory Monitoring
by John Krainer of the Federal Reserve Bank of San Francisco, and
Jose A. Lopez of the Federal Reserve Bank of San Francisco
(296K PDF) -- 40 pages -- March 2008 An Early Warning Model for EU Banks with Detection of the Adverse Selection Effect
by Olivier Brossard of IEP Toulouse & Université Toulouse 1,
Frédéric Ducrozet of Paris Sciences Economiques & Crédit Agricole SA, and
Adrian Roche of Université Paris X & Crédit Agricole SA
(495K PDF) -- 24 pages -- April 2007 Credit Derivatives and Sovereign Debt Crises
by Benedikt Goderis of the University of Oxford, and
Wolf Wagner of Cambridge University & Tilburg University
(209K PDF) -- 32 pages -- March 23, 2007 Tightening Credit Standards: The Role of Accounting Quality
by Philippe Jorion of the University of California at Irvine,
Charles Shi of the University of California at Irvine, and
Sanjian Zhang of Lehigh University
(335K PDF) -- 51 pages -- March 2007 Default Risk, Shareholder Advantage and Stock Returns
by Lorenzo Garlappi of the University of Texas at Austin,
Tao Shu of the University of Texas at Austin, and
Hong Yan of the University of Texas at Austin and SEC
(311K PDF -- 48 pages -- July 2006 Inflation Uncertainty, Asset Valuations, and Five Credit Risk Puzzles
by Alexander David of the University of Calgary
(669K PDF) -- 59 pages -- December 2005 Determinants of Spreads on Sovereign Bank Loans: The role of credit history
by Peter Benczur of Magyar Nemzeti Bank & Central European University, and
Cosmin Ilut of Northwestern University
(858K PDF) -- 29 pages -- November 2005 Corporate Credit Risk Changes: Common Factors and Firm-Level Fundamentals
by Doron Avramov of the University of Maryland,
Gergana Jostova of George Washington University, and
Alexander Philipov of American University
(268K PDF) -- 39 pages -- September 22, 2005 Insider Trading in Credit Derivatives
by Viral V. Acharya of the London Business School, and
Timothy C. Johnson of the London Business School
(299K PDF) -- 45 pages -- September 2005 The Pricing of Unexpected Credit Losses
by Jeffery D. Amato of the Bank for International Settlements, and
Eli M. Remolona of the Bank for International Settlements
(254K PDF) -- 41 pages -- May 2005 Implied Migration Rates from Credit Barrier Models
by Claudio Albanese of Imperial College London,
Oliver X. Chen of the National University of Singapore
(493K PDF) -- 38 pages -- March 11, 2005 Non-Linear Effects of Bond Rating Changes
by Philippe Jorion of the University of California at Irvine, and
Gaiyan Zhang of the University of California at Irvine
(166K PDF) -- 34 pages -- March 2005 Yu, Fan, "Accounting Transparency and the Term Structure of Credit Spreads", Journal of Financial Economics, Vol. 75, No. 1, (January 2005), pp. 53-84. Informational Efficiency of Loans Versus Bonds: Evidence from Secondary Market Prices
by Edward Altman of New York University,
Amar Gande of Vanderbilt University, and
Anthony Saunders of New York University
(266K PDF) -- 45 pages -- December 2004 Adverse Selection, Moral Hazard and the Term Structure of Default
by Koresh Galil of the Goethe University of Frankfurt & Tel-Aviv University
(511K PDF) -- 43 pages -- March 2004 Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets
by Jorge A. Chan-Lau of the International Monetary Fund, and
Yoon Sook Kim of the International Monetary Fund
(1,652K PDF) -- 31 pages -- February 2004 Measuring Treasury Market Liquidity
by Michael J. Fleming of the Federal Reserve Bank of New York
(335K PDF) -- 26 pages -- September 2003 Equity Returns Following Changes in Default Risk: New insights into the informational content of credit ratings
by Maria Vassalou of Columbia University, and
Yuhang Xing of Columbia University
(389K PDF) -- 50 pages -- July 18, 2003 An Examination of Rating Agencies' Actions Around the Investment-Grade Boundary
by Richard Johnson of the Federal Reserve Bank of Kansas City
(394K PDF) -- 34 pages -- February 2003 Which Factors Affect Corporate Bond Pricing? Evidence from Eurobonds Primary Market Spreads
by Andrea Sironi of Bocconi University, and
Giampaolo Gabbi of the Universita di Siena
(182K PDF) -- 48 pages -- September 2002 Akhigbe, Aigbe, and Jeff Madura. "Why do contagion effects vary among bank failures?", Journal of Banking & Finance, Vol. 25, No. 4, (April 2001), The University of Akron, and Florida Atlantic University, pp. 657-680. [Abstract] Morck, Randall, Bernard Yeung, and Wayne Yu, "The Information Content of Stock Markets: Why do emerging markets have synchronous stock price movements?", Journal of Financial Economics, Vol. 58, No. 1, (October 2000), pp. 215-260. Liquidity in U.S. Fixed Income Markets: A comparison of the bid-ask spread in corporate, government and municipal bond markets
by Sugato Chakravarty of Purdue University, and
Asani Sarkar of Federal Reserve Bank of New York
(192K PDF) -- 43 pages -- March 15, 1999 Public Disclosure and Bank Failures
by Tito Cordella of the International Monetary Fund, and
Eduardo Levy Yeyati of the International Monetary Fund
(1,219K PDF) -- 22 pages -- March 1998 Eberhart, Allan C., Richard J. Sweeney, "A Note on Noise in the Market for Bankrupt Firms' Securities", Journal of Banking & Finance, Vol. 20, No. 2, Georgetown University, (March 1996), pp. 401-415. Brennan, Michael J. and Avanidhar Subrahmanyam, "Market Microstructure and Asset Pricing: On the compensation for illiquidity in stock returns", Journal of Financial Economics, Vol. 41, (1996), pp. 441-464.
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