Nils Friewald

Norwegian School of Economics (NHH)

Helleveien 30

Bergen, NO-5045

Norway

Centre for Economic Policy Research (CEPR)

77 Bastwick Street

London, EC1V 3PZ

United Kingdom

SCHOLARLY PAPERS

10

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CITATIONS
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39

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), Copenhagen Business School and Vienna University of Economics and Business
Downloads 1,165 (9,077)
Citation 8

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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 - Stern School of Business
Downloads 697 (30,068)
Citation 15

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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 - Stern School of Business
Downloads 184 (142,344)
Citation 15

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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 - Stern School of Business
Downloads 151 (169,653)
Citation 15

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3.

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 477 (39,513)

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

4.

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 311 (73,956)

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

5.

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 294 (31,741)

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

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 - Stern School of Business
Downloads 239 (64,472)
Citation 3

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liquidity, structured products, OTC markets, transparency, TRACE

7.

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 - Stern School of Business, WU (Vienna University of Economics and Business) and Norwegian School of Economics (NHH)
Downloads 68 (207,280)
Citation 12

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8.

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 25 (171,258)
Citation 1

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9.

Over-the-Counter Market Frictions and Yield Spread Changes

Number of pages: 52 Posted: 10 Dec 2017
Nils Friewald and Florian Nagler
Norwegian School of Economics (NHH) and Bocconi University
Downloads 0 (279,860)

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U.S. corporate bond market, over-the-counter market, yield spread change, empirical asset pricing, dealer market

10.

Debt Refinancing and Equity Returns

Number of pages: 69 Posted: 31 Oct 2015 Last Revised: 16 Jan 2018
Nils Friewald, Florian Nagler and Christian Wagner
Norwegian School of Economics (NHH), Bocconi University and Copenhagen Business School
Downloads 0 (44,646)

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