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The Credit Default Swap Market's Reaction to Earnings Announcements
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The Credit Default Swap Market's Reaction to Earnings Announcements (2008)The Credit Default Swap Market's Reaction…The Econometrics of Financial Markets (2012)The Econometrics of Financial…The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis (2009)The Co‐movement of Credit Def…Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Good and bad credit contagion…The relationship between credit default swap spreads, bond yields, and credit rating announcements (2004)The relationship between cred…Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements (2004)Informational efficiency of c…Capital Structure and Stock Returns (2004)Capital Structure and Stock R…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Earnings Surprises, Growth Expectations, and Stock Returns: Don't Let an Earnings Torpedo Sink Your Portfolio (1999)Earnings Surprises, Growth Ex…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Market Efficiency, Long-Term Returns, and Behavioral Finance (1997)Market Efficiency, Long-Term …Event Studies in Economics and Finance (1997)Event Studies in Economics an…Momentum Strategies (1996)Momentum StrategiesEvidence that stock prices do not fully reflect the implications of current earnings for future earnings (1990)Evidence that stock prices do…Earnings Releases, Anomalies, and the Behavior of Security Returns. (1984)Earnings Releases, Anomalies,…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…An Empirical Evaluation of Accounting Income Numbers (1968)An Empirical Evaluation of Ac…Jumps in Credit Default Swap Spreads and Stock Returns (2010)Jumps in Credit Default Swap …An Econometric Analysis of Nonsynchronous Trading (1989)An ordered probit analysis of transaction stock prices (1990)The Econometrics of Financial Markets (1998)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Risk, Return, and Equilibrium: Empirical Tests (1973)Mean reversion in stock prices (1988)Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? (1989)Efficient Capital Markets: II (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Using daily stock returns (1985)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)The arbitrage theory of capital asset pricing (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Capital markets research in accounting (2001)Introductory Econometrics for Finance (2008)Corporate Social Responsibility and Shareholder Reaction: The Environmental Awareness of Investors (2012)The Capital Structure Puzzle (1984)What Do We Know about Capital Structure? Some Evidence from International Data (1995)Do Firms Rebalance Their Capital Structures? (2005)Liquidity and leverage (2008)Presidential Address: Discount Rates (2011)Common risk factors in the returns on stocks and bonds (1993)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Determining the Number of Factors in Approximate Factor Models (2002)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*11,230 cited
  • 1968An Empirical Evaluation of Accounting Income Numbers6,384 cited
  • 2012The Econometrics of Financial Markets5,889 cited
  • 1997The Econometrics of Financial Markets5,048 cited
  • 1997Event Studies in Economics and Finance4,623 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1990Evidence that stock prices do not fully reflect the implications of current earnings for future earnings2,010 cited
  • 1996Momentum Strategies1,491 cited
  • 1997Market Efficiency, Long-Term Returns, and Behavioral Finance1,294 cited
  • 2004Capital Structure and Stock Returns1,250 cited
  • 2004The relationship between credit default swap spreads, bond yields, and credit rating announcements1,082 cited
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  • 1999Earnings Surprises, Growth Expectations, and Stock Returns: Don't Let an Earnings Torpedo Sink Your Portfolio641 cited
  • 1984Earnings Releases, Anomalies, and the Behavior of Security Returns.613 cited
  • 2007Good and bad credit contagion: Evidence from credit default swaps☆

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588 cited
  • 2009The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis526 cited
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    • 2010Jumps in Credit Default Swap Spreads and Stock Returns17 cited