NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Yakov Amihud

New York University
Stern School of Business
44 West Fourth Street, Suite 9-190
New York, NY 10012

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NBER Working Papers and Publications

September 2010Liquidity Risk of Corporate Bond Returns: A Conditional Approach
with Viral V. Acharya, Sreedhar T. Bharath: w16394
We study the exposure of the US corporate bond returns to liquidity shocks of stocks and Treasury bonds over the period 1973 - 2007 in a regime - switching model. In one regime, liquidity shocks have mostly insignificant effects on bond prices, whereas in another regime, a rise in illiquidity produces significant but conflicting effects: Prices of investment-grade bonds rise while prices of speculative-grade (junk) bonds fall substantially (relative to the market). Relating the probability of these regimes to macroeconomic conditions we find that the second regime can be predicted by economic conditions that are characterized as "stress." These effects, which are robust to controlling for other systematic risks (term and default), suggest the existence of time-varying liquidity risk of cor...

Published: “Liquidity Risk of Corporate Bond Returns: A Conditional Approach” with Yakov Amihud and Sreedhar Bharath, Journal of Financial Economics , 110(2), 2013, 358-386. citation courtesy of

December 2009Creditor rights and corporate risk-taking
with Viral V. Acharya, Lubomir Litov: w15569
We analyze the link between creditor rights and firms' investment policies, proposing that stronger creditor rights in bankruptcy reduce corporate risk-taking. In cross-country analysis, we find that stronger creditor rights induce greater propensity of firms to engage in diversifying acquisitions, which result in poorer operating and stock-market abnormal performance. In countries with strong creditor rights, firms also have lower cash flow risk and lower leverage, and there is greater propensity of firms with low-recovery assets to acquire targets with high-recovery assets. These relationships are strongest in countries where management is dismissed in reorganization, and are observed in time-series analysis around changes in creditor rights. Our results question the value of strong cr...

Published: Acharya, Viral V. & Amihud, Yakov & Litov, Lubomir, 2011. "Creditor rights and corporate risk-taking," Journal of Financial Economics, Elsevier, vol. 102(1), pages 150-166, October. citation courtesy of

 
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