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The Impact of Major Events from the Recent FinancialCrisis on Credit Default Swaps
16 references·0 citing·43 second hop
The Impact of Major Events from the Recent FinancialCrisis on Credit Default Swaps (2011)The Impact of Major Events from the Recen…The Determinants of Credit Default Swap Premia (2009)The Determinants of Credit De…The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis (2009)The Co‐movement of Credit Def…Credit Contagion from Counterparty Risk (2009)Credit Contagion from Counter…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…Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…New Evidence and Perspectives on Mergers (2001)New Evidence and Perspectives…Valuing Credit Default Swaps I (2000)Valuing Credit Default Swaps IBank contagion: A review of the theory and evidence (1994)Bank contagion: A review of t…Nonparametric event study tests (1992)Nonparametric event study tes…Contagion and competitive intra-industry effects of bankruptcy announcements (1992)Contagion and competitive int…Using daily stock returns (1985)Using daily stock returnsMeasuring security price performance (1980)Measuring security price perf…The Adjustment of Stock Prices to New Information (1969)The Adjustment of Stock Price…An Empirical Evaluation of Accounting Income Numbers (1968)An Empirical Evaluation of Ac…The journal of financial economics (1993)The Event Study Methodology Since 1969 (1998)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)Corporate goodness and shareholder wealth (2014)Estimating betas from nonsynchronous data (1977)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Managerial discretion and optimal financing policies (1990)Is the Risk of Bankruptcy a Systematic Risk? (1998)The Modern Industrial Revolution, Exit, and the Failure of Internal Control Systems (1999)The effect of supply chain glitches on shareholder wealth (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Efficient Capital Markets: II (1991)Risk, Return, and Equilibrium: Empirical Tests (1973)Event Studies in Economics and Finance (1997)Introductory Econometrics for Finance (2008)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)ARCH modeling in finance (1992)Politically Connected Firms (2006)A Theory of the Term Structure of Interest Rates (1985)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Forecasting Default with the Merton Distance to Default Model (2008)The Aggregate Demand for Treasury Debt (2012)The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modeling Term Structures of Defaultable Bonds (1999)Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)Leveraged Buyouts and Private Equity (2009)Finance and Economics Discussion Series (2022)The effect of bond rating changes on common stock prices (1986)The Effect of Bond Rating Agency Announcements on Bond and Stock Prices (1992)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps (2006)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Stock market driven acquisitions (2003)Firm size and the gains from acquisitions (2004)Who makes acquisitions? CEO overconfidence and the market's reaction☆ (2008)Dividend Policy, Growth, and the Valuation of Shares (1961)The Behavior of Stock-Market Prices (1965)
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References

  • 1985Using daily stock returns6,887 cited
  • 1968An Empirical Evaluation of Accounting Income Numbers6,384 cited
  • 1969The Adjustment of Stock Prices to New Information5,093 cited
  • 1980Measuring security price performance3,370 cited
  • 2001New Evidence and Perspectives on Mergers2,803 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2004The relationship between credit default swap spreads, bond yields, and credit rating announcements1,082 cited
  • 1992Contagion and competitive intra-industry effects of bankruptcy announcements920 cited
  • 2009The Determinants of Credit Default Swap Premia700 cited
  • 1992Nonparametric event study tests678 cited
  • 2004Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements655 cited
  • 2007Good and bad credit contagion: Evidence from credit default swaps☆588 cited
  • 2009The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis526 cited
  • 2009Credit Contagion from Counterparty Risk466 cited
  • 2000Valuing Credit Default Swaps I426 cited

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  • 1994Bank contagion: A review of the theory and evidence405 cited
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