SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Do Equity Markets Favor Credit Markets News Over Options Market News?
16 references·3 citing·43 second hop
Do Equity Markets Favor Credit Markets News Over Options Market News? (2007)Do Equity Markets Favor Credit Markets Ne…The information content of option-implied volatility for credit default swap valuation (2010)The information content of op…Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)Explaining Credit Default Swa…Individual stock-option prices and credit spreads (2008)Individual stock-option price…Insider trading in credit derivatives☆ (2007)Insider trading in credit der…Credit Derivatives: An Overview (2007)Credit Derivatives: An Overvi…The Information in Option Volume for Future Stock Prices (2006)The Information in Option Vol…Option Market Activity (2006)Option Market ActivityInformational Content of Option Volume Prior to Takeovers (2005)Informational Content of Opti…Informed Trading in Stock and Option Markets (2004)Informed Trading in Stock and…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…An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps (2004)An Empirical Analysis of the …Credit Risk : Pricing, Measurement, and Management (2003)Credit Risk : Pricing, Measur…Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Option Volume and Stock Price…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The market for credit default swaps: new insights into investors' use of accounting information? (2014)The market for credit default…A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface (2013)A Joint Analysis of the Term …The fast and the furious—Stock returns and CDS of financial institutions under stress (2010)The fast and the furious—Stoc…Measuring security price performance (1980)Using daily stock returns (1985)The relationship between credit default swap spreads, bond yields, and credit rating announcements (2004)Regulatory pressure and fire sales in the corporate bond market (2011)Finance and Economics Discussion Series (2022)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Which Shorts Are Informed? (2007)Stocks as Lotteries: The Implications of Probability Weighting for Security Prices (2008)Tail Risk and Asset Prices (2014)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)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Asset Growth and the Cross‐Section of Stock Returns (2008)Co-Integration and Error-Correction: Representation, Estimation, and Testing (2008)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)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Inferring Trade Direction from Intraday Data (1991)The High‐Volume Return Premium (2001)Demand-Based Option Pricing (2005)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)The Determinants of Credit Default Swap Premia (2009)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Continuous Auctions and Insider Trading (1985)Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS (2009)Credit Default Swaps and the Credit Crisis (2010)Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? (2011)How Profitable Is Capital Structure Arbitrage? (2006)Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Safer ratios, riskier portfolios: Banks׳ response to government aid (2014)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*11,230 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 1998Option Volume and Stock Prices: Evidence on Where Informed Traders Trade1,089 cited
  • 2006The Information in Option Volume for Future Stock Prices847 cited
  • 2007Insider trading in credit derivatives☆827 cited
  • 2004Informed Trading in Stock and Option Markets750 cited
  • 2004Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements655 cited
  • 2003Credit Risk : Pricing, Measurement, and Management587 cited
  • 2009Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms572 cited
  • 2004An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps432 cited
  • 2005Informational Content of Option Volume Prior to Takeovers409 cited
  • 2010The information content of option-implied volatility for credit default swap valuation247 cited
  • 2006Option Market Activity243 cited
  • 2007

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Credit Derivatives: An Overview
96 cited
  • 2008Individual stock-option prices and credit spreads87 cited
  • Cited by

    • 2010The fast and the furious—Stock returns and CDS of financial institutions under stress32 cited
    • 2014The market for credit default swaps: new insights into investors' use of accounting information?32 cited
    • 2013A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface17 cited