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Do Equity Markets Favor Credit Markets News Over Options Market News? · Study

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PreprintDo Equity Markets Favor Credit Markets News Over Options Market News?

Antje Berndt2007

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Preprintgreen2007

Do Equity Markets Favor Credit Markets News Over Options Market News?

Antje Berndt · Anastasiya Ostrovnaya

33 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1973The Pricing of Options and Corporate Liabilities 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 1998Option Volume and Stock Prices: Evidence on Where Informed Traders Trade 2006The Information in Option Volume for Future Stock Prices 2007Insider trading in credit derivatives☆2004Informed Trading in Stock and Option Markets 2004Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements

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2010The fast and the furious—Stock returns and CDS of financial institutions under stress 2014The market for credit default swaps: new insights into investors' use of accounting information?2013A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2014Do Equity Markets Favor Credit Market News Over Options Market News?article · 13 shared references 2010The information content of option-implied volatility for credit default swap valuationarticle · 7 shared references 2014Credit Default Swaps: A Surveyarticle · 7 shared references 2011The Impact of Government Interventions on CDS and Equity Marketspreprint · 7 shared references 2016The tone of financial news and the perceptions of stock and CDS tradersarticle · 7 shared references 2021Option trading volume by moneyness, firm fundamentals, and expected stock returnsarticle · 7 shared references

Details

Year2007

Typepreprint

Published2007-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations33

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.972806

openalex_workW2105212853

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