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Full-Text Articles in Business
Empirical Studies Of Esg Scores With Corporate Credit Spreads (Insights From Popularity-Based Pricing), Eugene Okyere-Yeboah
Empirical Studies Of Esg Scores With Corporate Credit Spreads (Insights From Popularity-Based Pricing), Eugene Okyere-Yeboah
Doctoral Dissertations (DBA)
This study examines various factors or characteristics (risk and non-risk) that determine a firm’s credit risk premium, as measured by its credit default swap (CDS) spread, with a particular focus on the impact of environment, social, and governance (ESG) scores. The framework employed is a general equilibrium asset pricing model which integrates classical and behavioral finance elements, known as popularity-based asset pricing. It treats all attributes or characteristics of an asset as ”factors” to which investors assign a degree of popularity, which changes over time. Non-risk characteristics are classified as ”tastes” or ”disagreements”, Fama French (2007). Firms’ degree of adherence …
Securing Repo: Counterparty Risk And Collateral Supply Effects In The Tri-Party Repo Market, Stephen H. Frank
Securing Repo: Counterparty Risk And Collateral Supply Effects In The Tri-Party Repo Market, Stephen H. Frank
Doctoral Dissertations (DBA)
I examine the co-variance between tri-party repurchase agreement (repo) spreads and proxies for collateral values and counterparty risk. Since the Global Financial Crisis of 2008 (GFC), the Federal Reserve (Fed) has taken measures to mitigate repo market instability. These measures have collectively placed the Fed astride repo markets as ongoing borrower, lender and purchaser of US Treasury and Agency securities. By analyzing the relationships between repo spreads, the US 10-year yield and the TED spread, I assess the effectiveness of Fed measures to mitigate repo market instability. Using multiple breakpoint Bai-Perron regression and Markov Switching tests, I find that these …