Author Page for Rainer Jankowitsch

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

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Citation 128

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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

Nils Friewald, Rainer Jankowitsch and Marti G. Subrahmanyam

Norwegian School of Economics (NHH), WU (Vienna University of Economics and Business) and New York University (NYU) - Leonard N. Stern School of Business

Downloads 845 (49,496)

Citation 14

Abstract:

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

Nils Friewald, Rainer Jankowitsch and Marti G. Subrahmanyam

Norwegian School of Economics (NHH), WU (Vienna University of Economics and Business) and New York University (NYU) - Leonard N. Stern School of Business

Downloads 209 (250,211)

Citation 53

Abstract:

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

Nils Friewald, Rainer Jankowitsch and Marti G. Subrahmanyam

Norwegian School of Economics (NHH), WU (Vienna University of Economics and Business) and New York University (NYU) - Leonard N. Stern School of Business

Downloads 187 (275,724)

Citation 1

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2.

Price Dispersion in OTC Markets: A New Measure of Liquidity

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Citation 64

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Price Dispersion in OTC Markets: A New Measure of Liquidity

EFA 2008 Athens Meetings Paper

Number of pages: 36 Posted: 04 Mar 2008 Last Revised: 10 Apr 2008

Rainer Jankowitsch, Amrut J. Nashikkar and Marti G. Subrahmanyam

WU (Vienna University of Economics and Business), New York University (NYU) - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business

Downloads 954 (41,894)

Citation 42

Abstract:

Price Dispersion in OTC Markets: A New Measure of Liquidity

NYU Working Paper No. FIN-08-013

Number of pages: 38 Posted: 09 Mar 2009

Marti G. Subrahmanyam, Amrut J. Nashikkar and Rainer Jankowitsch

New York University (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and WU (Vienna University of Economics and Business)

Downloads 202 (257,101)

Citation 19

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3.

The Manipulation Potential of Libor and Euribor

Number of pages: 55 Posted: 15 Jan 2013 Last Revised: 12 Nov 2014

Alexander Eisl, Alexander Eisl, Rainer Jankowitsch and Marti G. Subrahmanyam

Vienna University of Economics and BusinessVienna University of Economics and Business - Institute for Finance, Banking and Insurance, WU (Vienna University of Economics and Business) and New York University (NYU) - Leonard N. Stern School of Business

Downloads 1,130 (33,436)

Citation 4

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4.

The Determinants of Recovery Rates in the US Corporate Bond Market

Journal of Financial Economics 114 (1): 155-177

Number of pages: 47 Posted: 04 Sep 2012 Last Revised: 17 Sep 2014

Rainer Jankowitsch, Florian Nagler and Marti G. Subrahmanyam

WU (Vienna University of Economics and Business), Bocconi University and New York University (NYU) - Leonard N. Stern School of Business

Downloads 845 (50,215)

Citation 49

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5.

Benchmarking Credit Rating Systems

Number of pages: 29 Posted: 17 Sep 2006

Kurt Hornik, Manuel Lingo, Manuel Lingo, Rainer Jankowitsch, Stefan Pichler and Gerhard Winkler

Vienna University of Economics and Business Administration - Department of Statistics and Mathematics, Vienna University of Economics and Business AdministrationOesterreichische Nationalbank (OeNB), WU (Vienna University of Economics and Business), WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics and Oesterreichische Nationalbank (OeNB)

Downloads 830 (51,485)

Citation 1

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6.

Parsimonious Estimation of Credit Spreads

Number of pages: 24 Posted: 28 Apr 2002

Rainer Jankowitsch and Stefan Pichler

WU (Vienna University of Economics and Business) and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics

Downloads 643 (72,092)

Citation 3

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7.

The Delivery Option in Credit Default Swaps

EFA 2007 Ljubljana Meetings Paper

Number of pages: 33 Posted: 22 May 2006 Last Revised: 26 Oct 2007

Rainer Pullirsch, Tanja Veza and Rainer Jankowitsch

Bank Austria Creditanstalt - Department of Operational and Group Risk Control, WU Vienna (Vienna University of Economics and Business) and WU (Vienna University of Economics and Business)

Downloads 636 (73,082)

Citation 7

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8.

Validation of Credit Rating Systems Using Multi-Rater Information

Number of pages: 35 Posted: 20 Dec 2005

Kurt Hornik, Rainer Jankowitsch, Manuel Lingo, Manuel Lingo, Stefan Pichler and Gerhard Winkler

Vienna University of Economics and Business Administration - Department of Statistics and Mathematics, WU (Vienna University of Economics and Business), Vienna University of Economics and Business AdministrationOesterreichische Nationalbank (OeNB), WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics and Oesterreichische Nationalbank (OeNB)

Downloads 607 (77,387)

Citation 4

Abstract:

9.

Measuring the Liquidity Impact on Emu Government Bond Prices

Number of pages: 42 Posted: 22 Mar 2002

Hannes Mösenbacher, Rainer Jankowitsch and Stefan Pichler

Center for Central European Financial Markets (CCEFM), WU (Vienna University of Economics and Business) and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics

Downloads 577 (82,398)

Citation 9

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10.

Rating Granularity and Basel Ii Capital Requirements

Number of pages: 21 Posted: 05 Jan 2004

Rainer Jankowitsch, Walter S. A. Schwaiger and Stefan Pichler

WU (Vienna University of Economics and Business), Vienna University of Technology - Department of Accounting and Controlling and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics

Downloads 574 (82,950)

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11.

Currency Dependence of Corporate Credit Spreads

Downloads 555 (86,543)

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Currency Dependence of Corporate Credit Spreads

Number of pages: 29 Posted: 06 May 2003

Rainer Jankowitsch and Stefan Pichler

WU (Vienna University of Economics and Business) and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics

Downloads 555 (85,549)

Abstract:

Currency Dependence of Corporate Credit Spreads

Journal of Risk, Vol. 8, No. 1, Fall 2005

Posted: 08 Nov 2005

Rainer Jankowitsch and Stefan Pichler

WU (Vienna University of Economics and Business) and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics

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12.

Transparency and Liquidity in the Structured Product Market

Number of pages: 50 Posted: 01 Sep 2012 Last Revised: 05 Nov 2014

Nils Friewald, Rainer Jankowitsch and Marti G. Subrahmanyam

Norwegian School of Economics (NHH), WU (Vienna University of Economics and Business) and New York University (NYU) - Leonard N. Stern School of Business

Downloads 526 (92,555)

Citation 17

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13.

Trading Strategies Based on Term Structure Model Residuals

Number of pages: 36 Posted: 27 Sep 2005

Michaela Nettekoven and Rainer Jankowitsch

Vienna University of Economics and Business Administration and WU (Vienna University of Economics and Business)

Downloads 518 (94,310)

Citation 1

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14.

Regulation, Asset Complexity, and the Informativeness of Credit Ratings

Number of pages: 55 Posted: 19 Nov 2015 Last Revised: 27 Nov 2022

Rainer Jankowitsch, Giorgio Ottonello and Marti G. Subrahmanyam

WU (Vienna University of Economics and Business), Nova School of Business and Economics and New York University (NYU) - Leonard N. Stern School of Business

Downloads 479 (103,721)

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15.

The Effects of ESG Performance and Preferences on U.S. Corporate Bond Prices

Number of pages: 41 Posted: 06 May 2022

Lukas Handler, Rainer Jankowitsch and Alex Pasler

Vienna University of Economics and Business, WU (Vienna University of Economics and Business) and WU Vienna University of Economics and Business

Downloads 387 (132,988)

Abstract:

16.

A Latent Variable Approach to Validate Credit Rating Systems

Number of pages: 14 Posted: 19 Sep 2008

Kurt Hornik, Rainer Jankowitsch, Christoph Leitner, Manuel Lingo, Manuel Lingo, Stefan Pichler and Gerhard Winkler

Vienna University of Economics and Business Administration - Department of Statistics and Mathematics, WU (Vienna University of Economics and Business), Vienna University of Economics and Business - Department of Statistics and Mathematics, Vienna University of Economics and Business AdministrationOesterreichische Nationalbank (OeNB), WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics and Oesterreichische Nationalbank (OeNB)

Downloads 387 (133,402)

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17.

Covenant Prices of US Corporate Bonds

Number of pages: 71 Posted: 20 Apr 2021 Last Revised: 14 Feb 2023

Lukas Handler, Rainer Jankowitsch and Patrick Weiss

Vienna University of Economics and Business, WU (Vienna University of Economics and Business) and Reykjavik University

Downloads 275 (191,446)

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18.

Impact of the COVID-19 Pandemic on the U.S. Corporate Bond Market

Number of pages: 48 Posted: 19 Sep 2022 Last Revised: 13 Feb 2023

Rainer Jankowitsch, Florian Pauer and Elizabeth Rinde

WU (Vienna University of Economics and Business), Vienna University of Economics and Business - Department of Finance, Accounting & Statistics and Vienna Graduate School of Finance (VGSF)

Downloads 249 (216,405)

Abstract:

19.

Modelling the Economic Value of Credit Rating Systems

Number of pages: 34 Posted: 28 Feb 2005

Rainer Jankowitsch, Walter S. A. Schwaiger and Stefan Pichler

WU (Vienna University of Economics and Business), Vienna University of Technology - Department of Accounting and Controlling and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics

Downloads 247 (213,018)

Citation 5

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20.

Political Uncertainty and Sovereign Bond Markets

Number of pages: 39 Posted: 25 Aug 2018

Lukas Handler and Rainer Jankowitsch

Vienna University of Economics and Business and WU (Vienna University of Economics and Business)

Downloads 223 (235,084)

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21.

Choice of Rating Technology and Price Formation in Imperfect Credit Markets

Number of pages: 24 Posted: 17 May 2007

Engelbert J. Dockner, Hannelore Brandt, Rainer Jankowitsch and Stefan Pichler

WU Vienna University of Economics and Business (deceased), Vienna University of Economics and Business - Department of Accounting and Finance, WU (Vienna University of Economics and Business) and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics

Downloads 219 (239,103)

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22.

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 217 (241,180)

Citation 11

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23.

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

Marti G. Subrahmanyam, Rainer Jankowitsch and Nils Friewald

New York University (NYU) - Leonard N. Stern School of Business, WU (Vienna University of Economics and Business) and Norwegian School of Economics (NHH)

Downloads 204 (255,365)

Abstract:

24.

The Effect of Credit, Liquidity and Rollover Risk on Bondholder Wealth in Mergers and Acquisitions

Downloads 32 (779,846)

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The Effect of Credit, Liquidity and Rollover Risk on Bondholder Wealth in Mergers and Acquisitions

Number of pages: 43 Posted: 08 Jun 2021 Last Revised: 11 May 2023

Rainer Jankowitsch and Florian Pauer

WU (Vienna University of Economics and Business) and Vienna University of Economics and Business - Department of Finance, Accounting & Statistics

Downloads 23 (881,957)

Abstract:

The Effect of Credit, Liquidity and Rollover Risk on Bondholder Wealth in Mergers and Acquisitions

Number of pages: 44 Posted: 30 Oct 2023

Rainer Jankowitsch and Florian Pauer

WU (Vienna University of Economics and Business) and affiliation not provided to SSRN

Downloads 9 (1,026,057)

Abstract:

25.

Choice of Rating Technology and Loan Pricing in Imperfect Credit Markets

Journal of Risk, Vol. 17, No. 1, 2014

Number of pages: 34 Posted: 09 Jun 2016

Hannelore De Silva, Engelbert J. Dockner, Rainer Jankowitsch, Stefan Pichler and Klaus Ritzberger

Vienna University of Economics and Business, WU Vienna University of Economics and Business (deceased), WU (Vienna University of Economics and Business), WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics and Institute for Advanced Studies (IHS)

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Abstract:

26.

Determinants of Heterogeneity in European Credit Ratings

Financial Markets and Portfolio Management, Vol. 24, No. 3, 2010

Posted: 03 Sep 2010

Kurt Hornik, Rainer Jankowitsch, Manuel Lingo, Manuel Lingo, Stefan Pichler and Gerhard Winkler

Vienna University of Economics and Business Administration - Department of Statistics and Mathematics, WU (Vienna University of Economics and Business), Vienna University of Economics and Business AdministrationOesterreichische Nationalbank (OeNB), WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics and Oesterreichische Nationalbank (OeNB)

Rainer Jankowitsch

WU (Vienna University of Economics and Business)

Vienna Graduate School of Finance (VGSF)

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Scholarly Papers (26)

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Choice of Rating Technology and Loan Pricing in Imperfect Credit Markets

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