Nils Friewald

Norwegian School of Economics (NHH)

Helleveien 30

Bergen, NO-5045

Norway

Centre for Economic Policy Research (CEPR)

London

United Kingdom

SCHOLARLY PAPERS

10

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CITATIONS
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63

Scholarly Papers (10)

1.

The Cross-Section of Credit Risk Premia and Equity Returns

Journal of Finance, Forthcoming
Number of pages: 56 Posted: 12 Jul 2011 Last Revised: 12 Apr 2015
Nils Friewald, Christian Wagner and Josef Zechner
Norwegian School of Economics (NHH), WU Vienna University of Economics and Business and Vienna University of Economics and Business
Downloads 1,675 (9,541)
Citation 32

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equity returns, default risk, credit risk premia, credit default swaps, cross-sectional asset pricing

Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises

Number of pages: 40 Posted: 16 Jun 2009 Last Revised: 17 Mar 2010
Norwegian School of Economics (NHH), WU (Vienna University of Economics and Business) and New York University (NYU) - Department of Finance
Downloads 720 (33,423)
Citation 5

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Liquidity, Corporate Bonds, Financial Crises, OTC Markets

Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises

NYU Working Paper No. FIN-09-009
Number of pages: 40 Posted: 08 Sep 2009 Last Revised: 16 Mar 2010
Norwegian School of Economics (NHH), WU (Vienna University of Economics and Business) and New York University (NYU) - Department of Finance
Downloads 188 (158,721)
Citation 75

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liquidity, corporate bonds, financial crises, OTC markets

Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market During Financial Crises

NYU Working Paper No. FIN-11-043
Number of pages: 40 Posted: 13 Jan 2012
Norwegian School of Economics (NHH), WU (Vienna University of Economics and Business) and New York University (NYU) - Department of Finance
Downloads 154 (189,308)
Citation 2

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3.

Dealer Inventory and the Cross-Section of Corporate Bond Returns

Number of pages: 44 Posted: 19 Nov 2014 Last Revised: 13 Aug 2016
Nils Friewald and Florian Nagler
Norwegian School of Economics (NHH) and Bocconi University
Downloads 794 (29,649)
Citation 8

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US corporate bond market, OTC market, dealer inventory, cross-sectional asset pricing, risk sharing

4.

Debt Refinancing and Equity Returns

Number of pages: 69 Posted: 31 Oct 2015 Last Revised: 02 Feb 2018
Nils Friewald, Florian Nagler and Christian Wagner
Norwegian School of Economics (NHH), Bocconi University and WU Vienna University of Economics and Business
Downloads 676 (36,976)
Citation 1

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equity returns, optimal capital structure, leverage, debt refinancing, rollover risk, book-to-market, size

5.

Estimating Asset Correlation from CDS Spreads: An Analysis of the Hedge Effectiveness of FTD Baskets

Number of pages: 29 Posted: 18 Aug 2009
Nils Friewald
Norwegian School of Economics (NHH)
Downloads 635 (40,214)

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asset correlation, CDS spreads, default dependence modeling, first-to-default basket, hedge effectiveness, financial crisis

6.

Transparency and Liquidity in the Structured Product Market

Number of pages: 50 Posted: 01 Sep 2012 Last Revised: 05 Nov 2014
Norwegian School of Economics (NHH), WU (Vienna University of Economics and Business) and New York University (NYU) - Department of Finance
Downloads 418 (68,105)
Citation 12

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liquidity, structured products, OTC markets, transparency, TRACE

7.

An Empirical Analysis of Valuation Algorithms for Pricing Callable Snowball Floaters

22nd Australasian Finance and Banking Conference 2009
Number of pages: 28 Posted: 17 Aug 2009
Damir Filipović, Nils Friewald and Stefan Pichler
Ecole Polytechnique Fédérale de Lausanne, Norwegian School of Economics (NHH) and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics
Downloads 366 (79,691)

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snowball floater, bermudan option, least squares Monte Carlo, nested Monte Carlo simulation

Over-the-Counter Market Frictions and Yield Spread Changes

Journal of Finance, Forthcoming
Number of pages: 66 Posted: 10 Dec 2017 Last Revised: 23 Nov 2018
Nils Friewald and Florian Nagler
Norwegian School of Economics (NHH) and Bocconi University
Downloads 320 (92,220)
Citation 6

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Corporate bond market, over-the-counter market, yield spread changes, intermediation frictions, dealer market

Over-the-Counter Market Frictions and Yield Spread Changes

CEPR Discussion Paper No. DP13345
Number of pages: 54 Posted: 03 Dec 2018
Nils Friewald and Florian Nagler
Norwegian School of Economics (NHH) and Bocconi University
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Corporate bond market, dealer market, intermediation frictions, Over-the-counter market, yield spread changes

9.

Secondary Market Liquidity and Security Design: Theory and Evidence from ABS Markets

Number of pages: 40 Posted: 25 Aug 2015
Nils Friewald, Chris Hennessy and Rainer Jankowitsch
Norwegian School of Economics (NHH), London Business School and WU (Vienna University of Economics and Business)
Downloads 166 (177,317)
Citation 3

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10.

Illiquidity or Credit Deterioration: A Study of Liquidity in the Us Corporate Bond Market During

NYU Working Paper No. 2451/31418
Number of pages: 40 Posted: 26 Jun 2013
New York University (NYU) - Department of Finance, WU (Vienna University of Economics and Business) and Norwegian School of Economics (NHH)
Downloads 129 (218,038)

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