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Why is Price Discovery in Credit Default Swap Markets News-Specific? · Study

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PreprintWhy is Price Discovery in Credit Default Swap Markets News-Specific?

Ian W. Marsh2012

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Preprintgreen2012

Why is Price Discovery in Credit Default Swap Markets News-Specific?

Ian W. Marsh · Wolf Wagner

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

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Credit Risk and Financial Regulations Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps 2003Style investing 2000Prices Rise Faster than They Fall 2007Insider trading in credit derivatives☆1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market 2007Industry Information Diffusion and the Lead-lag Effect in Stock Returns 1991Rockets and feathers: the asymmetric speed of adjustment of UK retail gasoline prices to cost changes

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2012More than Connectedness – Heterogeneity of CEO Social Network and Firm Value

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2012Why is Price Discovery in Credit Default Swap Markets News-Specific?preprint · 16 shared references 2015News‐Specific Price Discovery in Credit Default Swap Marketsarticle · 13 shared references 2014What Does the Corporate Bond Market Know?article · 6 shared references 2009Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDSarticle · 5 shared references 2014The Cross‐Section of Credit Risk Premia and Equity Returnsarticle · 5 shared references 2010Price Discovery and Dissemination of Private Information by Loan Syndicate Participantsarticle · 5 shared references

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Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations28

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.1998190

openalex_workW2145347604

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