The dynamic effects of debtor bankruptcy on unsecured creditors' stock liquidity
研究了债务人破产后，无担保债权人股票流动性的短期下降和长期恢复，发现信用暴露越大流动性下降越明显，对金融从业者和监管者评估破产风险有参考价值。
This paper explores the dynamic effects of counterparty risk on stock liquidity using data on unsecured creditors after a debtor has declared bankruptcy. Through matched pair fixed effect panel regressions, we find that liquidity for unsecured creditors reduces after such declarations but only in the short term. This is evidenced by increases in various spread measures and Kyle's (1985) lambda and decreases in the bid depth differentials between the stocks of the unsecured creditors and the matched firms. Additionally, we find the greater the credit exposure, the greater the decline in liquidity. In the long term, debtor bankruptcies appear to have no effect on spread measures. Rather, the market depth for unsecured creditor stocks improves.