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Why is Price Discovery in Credit Default Swap Markets News-Specific?
16 references·1 citing·46 second hop
Why is Price Discovery in Credit Default Swap Markets News-Specific? (2012)Why is Price Discovery in Credit Default …Price Discovery in Illiquid Markets: Do Financial Asset Prices Rise Faster Than They Fall? (2010)Price Discovery in Illiquid M…The Relative Informational Efficiency of Stocks and Bonds: An Intraday Analysis (2009)The Relative Informational Ef…The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis (2009)The Co‐movement of Credit Def…Rockets and feathers: Understanding asymmetric pricing (2009)Rockets and feathers: Underst…Insider trading in credit derivatives☆ (2007)Insider trading in credit der…Industry Information Diffusion and the Lead-lag Effect in Stock Returns (2007)Industry Information Diffusio…An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)An Empirical Analysis of the …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 …Style investing (2003)Style investingIndustry Information Diffusion and the Lead-Lag Effect in Stock Returns (2003)Industry Information Diffusio…Prices Rise Faster than They Fall (2000)Prices Rise Faster than They …Firm-specific information and the correlation between individual stocks and bonds (1996)Firm-specific information and…Delayed Reaction to Good News and the Cross-Autocorrelation of Portfolio Returns (1996)Delayed Reaction to Good News…A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)A Further Analysis of the Lea…Rockets and feathers: the asymmetric speed of adjustment of UK retail gasoline prices to cost changes (1991)Rockets and feathers: the asy…More than Connectedness – Heterogeneity of CEO Social Network and Firm Value (2012)More than Connectedness – Het…Foundations of Economic Analysis. (1948)Energy prices and aggregate economic activity: an interpretative survey (2002)Oil prices and economic activity: An asymmetric cointegration approach (2006)Oil price shocks and their short- and long-term effects on the Chinese economy (2010)Continuous Auctions and Insider Trading (1985)Stock Returns and the Term Structure (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)An Empirical Study of Bond Market Transactions (2000)Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS (2009)Slapped in the Face by the Invisible Hand: Banking and the Panic of 2007 (2009)Expected stock returns and volatility (1987)The Relation Between Price Changes and Trading Volume: A Survey (1987)A Theory of Trading in Stock Index Futures (1991)Intraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Trading costs and the relative rates of price discovery in stock, futures, and option markets (1996)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Common risk factors in the returns on stocks and bonds (1993)Markets contagion during financial crisis: A regime-switching approach (2010)Boarding a Sinking Ship? An Investigation of Job Applications to Distressed Firms (2015)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Liquidity Risk and Expected Stock Returns (2003)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)Risk, Return, and Equilibrium: Empirical Tests (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Has the CDS market lowered the cost of corporate debt? (2009)Credit Default Swaps and the Credit Crisis (2010)Modeling Term Structures of Defaultable Bonds (1999)A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk (2014)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Constraints on short-selling and asset price adjustment to private information (1987)Information Uncertainty and Stock Returns (2006)Market Segmentation and Cross‐predictability of Returns (2010)Forecasting Stock Returns (2013)Short interest and aggregate stock returns (2016)Judgment under Uncertainty: Heuristics and Biases (1974)The Cross-Section of Expected Stock Returns (1992)Comovement (2004)Dumb money: Mutual fund flows and the cross-section of stock returns (2008)Innovative efficiency and stock returns (2012)New Evidence on Asymmetric Gasoline Price Responses (2003)Asymmetric Price Transmission: A Survey (2004)Sticky Prices in the Euro Area: A Summary of New Micro-Evidence (2006)
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References

  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps1,166 cited
  • 2003Style investing971 cited
  • 2000Prices Rise Faster than They Fall962 cited
  • 2007Insider trading in credit derivatives☆827 cited
  • 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market635 cited
  • 2007Industry Information Diffusion and the Lead-lag Effect in Stock Returns603 cited
  • 1991Rockets and feathers: the asymmetric speed of adjustment of UK retail gasoline prices to cost changes577 cited
  • 2009The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis526 cited
  • 1996Firm-specific information and the correlation between individual stocks and bonds411 cited
  • 2004An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps386 cited
  • 1996Delayed Reaction to Good News and the Cross-Autocorrelation of Portfolio Returns274 cited
  • 2009Rockets and feathers: Understanding asymmetric pricing265 cited
  • 2010Price Discovery in Illiquid Markets: Do Financial Asset Prices Rise Faster Than They Fall?176 cited

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  • 2003Industry Information Diffusion and the Lead-Lag Effect in Stock Returns164 cited
  • 2009The Relative Informational Efficiency of Stocks and Bonds: An Intraday Analysis143 cited
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    • 2012More than Connectedness – Heterogeneity of CEO Social Network and Firm Value20 cited