کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5090222 | 1375622 | 2013 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper explores the dynamic relationship between stock market implied credit spreads, CDS spreads, and bond spreads. A general VECM representation is proposed for changes in the three credit spread measures which accounts for zero, one, or two independent cointegration equations, depending on the evidence provided by any particular company. Empirical analysis on price discovery, based on a proprietary sample of North American and European firms, and tailored to the specific VECM at hand, indicates that stocks lead CDS and bonds more frequently than the other way round. It likewise confirms the leading role of CDS with respect to bonds.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 33, Issue 11, November 2009, Pages 2013-2025
Journal: Journal of Banking & Finance - Volume 33, Issue 11, November 2009, Pages 2013-2025
نویسندگان
Santiago Forte, Juan Ignacio Peña,