Search

Your search keyword '"Helwege, Jean"' showing total 146 results
Start Over Author "Helwege, Jean"
146 results on '"Helwege, Jean"'

21. Financial firm bankruptcy and systemic risk: conventional wisdom overstates the risk of contagion and the chaos of bankruptcy

Author

Helwege, Jean

Subjects
Bear Stearns Companies Inc. -- Finance, Swaps (Finance), Banks (Finance), Investment banks -- Finance, Depressions, Bankruptcy, Business, Government, Law, Company financing, Company bankruptcy, Finance
Abstract

Systemic risk is the risk that the financial system will fail to function properly because of widespread distress. Failure of the system implies that capital will not be properly allocated [...]

Published
2009

24. Credit default swap auctions and price discovery

Author

Helwege, Jean, Maurer, Samuel, Sarkar, Asani, and Wang, Yuan

Subjects
Credit default swaps -- Prices and rates, Bonds -- Prices and rates, Financial markets, Company pricing policy, Banking, finance and accounting industries, Business
Abstract

Until recently financial market participants and the financial press looked at bond spreads for indications of changes in the probability of a corporate bond default, but since the financial crisis [...]

Published
2009

25. Forced selling of fallen angels

Author

Ambrose, Brent W., Cai, Nianyun, kelly, and Helwege, Jean

Subjects
Insurance industry -- Laws, regulations and rules, Junk bonds -- Laws, regulations and rules, Insurance industry, Government regulation, Banking, finance and accounting industries, Business
Abstract

What happens when investment-grade bonds are downgraded to junk status? The received wisdom is that these fallen angels are sold by fixed-income investors who, by regulation, are prohibited from investing [...]

Published
2008

26. Is there a pecking order? Evidence from a panel of IPO firms

Author

Helwege, Jean and Liang, Nellie

Subjects
Going public (Securities) -- Research, Corporations -- Finance, Banking, finance and accounting industries, Business, Economics
Abstract

A sample of companies that initially went public in 1983 and their discrete financing decisions between 1984 and 1992 were analyzed to determine the validity of the pecking order model. The model predicted that internal financing, debt and equity were followed by firms in ranking resources. The analysis assumed explosive funds growth and the inability of some firms to issue low-risk debt. The possibility of securing external funds was not related to internal fund shortfalls.

Published
1996

28. Stock market valuation indicators: is this time different?

Author

Cole, Kevin, Helwege, Jean, and Laster, David

Subjects
Stock-exchange -- Valuation, Stock price forecasting -- Research, Stock redemption -- Research, Banking, finance and accounting industries, Business
Abstract

The dividend yield and market-to-book ratio have been at extreme levels for several years, raising doubts about their validity. This article examines their predictive power and quantifies the effects of share repurchases and retiree health liabilities on these two measures. Even after these adjustments, the indicators point to excessively high valuations. (Reprinted by permission of the publisher.)

Published
1996

31. Structural Models of Corporate Bond Pricing: An Empirical Analysis.

Author

Young Ho Eom, Helwege, Jean, and Jing-Zhi Huang

Subjects
BOND prices, CAPITAL structure, BOND market, SPREAD (Finance), CREDIT risk, MARKET volatility
Abstract

This article empirically tests live structural models of corporate bond pricing: those of Merton (1974), Geske (1977), Longstaff and Schwartz (1995), Leland and Toft (1996), and Collin-Dufresne and Goldstein (2001). We implement the models using a sample of 182 bond prices from firms with simple capital structures during the period 1986-1997. The conventional wisdom is that structural models do not generate spreads as high as those seen in the bond market, and true to expectations, we find that the predicted spreads in our implementation of the Merton model are too low. However, most of the other structural models predict spreads that are too high on average. Nevertheless, accuracy is a problem, as the newer models tend to severely overstate the credit risk of firms with high leverage or volatility and yet suffer from a spread underprediction problem with safer bonds. The Leland and Toft model is an exception in that it overpredicts spreads on most bonds, particularly those with high coupons. More accurate structural models must avoid features that increase the credit risk on the riskier bonds while scarcely affecting the spreads of the safest bonds. [ABSTRACT FROM AUTHOR]

Published
2004
Full Text
View/download PDF

36. On bounding credit event risk premia

Author

Bai, Jennie, Collin-Dufresne, Pierre, Goldstein, Robert S., and Helwege, Jean

Subjects
credit risk model, contagion, Default (Finance), Credit, Risk, Financial crises, ddc:330, G10, G12
Abstract

Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit event risk typically preclude the most plausible economic justification for such risk to be priced--namely, a “contagious” response of the market portfolio during the credit event. When this channel is introduced within a general equilibrium framework for an economy comprised of a large number of firms, credit event risk premia have an upper bound of just a few basis points and are dwarfed by the contagion premium. We provide empirical evidence supporting the view that credit event risk premia are minuscule.

Published
2012

38. Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs

Author

Collin-Dufresne, Pierre, Goldstein, Robert S., and Helwege, Jean

Subjects
fragile beliefs, jel:G12, contagion risk, jel:G13
Abstract

Empirical tests of reduced form models of default attribute a large fraction of observed credit spreads to compensation for jump-to-default risk. However, these models preclude a "contagion-risk'' channel, where the aggregate corporate bond index reacts adversely to a credit event. In this paper, we propose a tractable model for pricing corporate bonds subject to contagion-risk. We show that when investors have fragile beliefs (Hansen and Sargent (2009)), contagion premia may be sizable even if P-measure contagion across defaults is small. We find empirical support for contagion in bond returns in response to large credit events. Model calibrations suggest that while contagion risk premia may be sizable, jump-to-default risk premia have an upper bound of a few basis points.

Published
2010

39. Credit default swap auctions

Author

Helwege, Jean, Maurer, Samuel, Sarkar, Asani, and Wang, Yuan

Subjects
TheoryofComputation_MISCELLANEOUS, settlement, Credit default swaps, G13, ddc:330, TheoryofComputation_GENERAL, G10, auctions, G33, default, recovery basis, corporate bonds
Abstract

The rapid growth of the credit default swap (CDS) market and the increased number of defaults in recent years have led to major changes in the way CDS contracts are settled when default occurs. Auctions are increasingly the mechanism used to settle these contracts, replacing physical transfers of defaulted bonds between CDS sellers and buyers. Indeed, auctions will become a standard feature of all recent CDS contracts from now on. In this paper, we examine all of the CDS auctions conducted to date and evaluate their efficacy by comparing the auction outcomes to prices of the underlying bonds in the secondary market. The auctions appear to have served their purpose, as we find no evidence of inefficiency in the process: Participation is high, open interest is low, and the auction prices are close to the prices observed in the bond market before and after each auction has occurred. We qualify our conclusions by noting that relatively few auctions have taken place thus far.

Published
2009

43. Distress Risk Premia in Stock and Bond Returns

Author

Maxwell, William, Helwege, Jean, Oaxaca, Ronald L., Yao, Tong, Trombley, Mark, Zhang, Jianzhong (Andrew), Maxwell, William, Helwege, Jean, Oaxaca, Ronald L., Yao, Tong, Trombley, Mark, and Zhang, Jianzhong (Andrew)

Abstract

This paper investigates whether the potential for rent extraction due to shareholders' strategic actions is reflected ex ante in stock and bond prices based on a joint study of stock and bond markets. I document that higher default probabilities are associated with higher yield spreads and bond returns but not with higher stock returns. Shareholder advantage has no significant effect on distress risk premia in stock or bond returns for firms with bonds outstanding. I also find that the negative relationship between distress risk and stock returns is more evident for firms with high trading cost and arbitrage risk. My findings suggest that the stock market, but not the bond market, misprices distress risk.

Published
2008

45. Financial Firm Bankruptcy and Contagion.

Author

Helwege, Jean and Zhang, Gaiyan

Subjects
FINANCIAL institutions, FINANCE, MONEYLENDERS, BANKRUPTCY, BUSINESS failures
Abstract

The Lehman bankruptcy highlights the potential for interconnectedness to cause negative externalities through counterparty contagion, but the externalities may also arise from information contagion. We examine troubled financial firms and find that both channels are significant factors in creating spillover effects. Counterparty contagion is greater in cases of riskier firms and larger and more complex exposures. However, the counterparty exposures are small, especially among banks that face diversification regulations, and do not typically cause a cascade of failures. Information contagion is stronger for rivals in the same markets and has a larger impact in cases of distress than in bankruptcies. [ABSTRACT FROM AUTHOR]

Published
2016
Full Text
View/download PDF

46. Two Essays on the Corporate Bond Market

Author

Helwege, Jean, Dyl, Edward A., Maxwell, William, Flores-Lagunes, Alfonso, Aradhyula, Satheesh V., Theocharides, George, Helwege, Jean, Dyl, Edward A., Maxwell, William, Flores-Lagunes, Alfonso, Aradhyula, Satheesh V., and Theocharides, George

Abstract

This dissertation consists of two papers. The first paper examines the propagation of firm-specific shocks as well as market-wide shocks between 1995-2003 using Treasury and corporate bond market data. It then tests the implications of previously proposed models of contagion. I find little support for the industry and counterparty structure hypothesis, suggesting that fundamentals do not generate contagion. Consistent with the information transmission, rebalancing, and liquidity-shock hypotheses, I find evidence of flight to quality during the event periods. However, in contrast to the prediction of the liquidity-shock channel, the corporate bond market, on average, seems to be more liquid during event periods (evidenced by higher trading volume, trading frequency, and mean bond age). Furthermore, there are no significant changes in the trading of assets with the low transaction costs, which is contrary to the rebalancing theory. These findings are more in favor of the correlated information channel as a means of inducing contagion.The second paper examines the effect of liquidity on corporate bond prices using the newly formed TRACE data set. In the spirit of Acharya and Pedersen's (2005) liquidity-adjusted capital asset pricing model (LCAPM), I examine the impact of multiple sources of risk on corporate bond prices. The results do not lend strong support for the existence of liquidity risk in the corporate bond market or for the LCAPM, especially when liquidity is captured using the trading frequency, trading volume, and turnover. Contrary to the predictions of the LCAPM, more illiquid portfolios do not have higher values for the three liquidity betas; betas that capture the commonality in liquidity with the market, the sensitivity in returns with the market-wide liquidity, and the liquidity sensitivity with the market returns. Furthermore, after running cross-sectional regressions I do not find strong evidence either for the validity of the model or that liquidit

Published
2006

Catalog

Books, media, physical & digital resources
See catalog results