کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7356984 | 1478418 | 2018 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Game changer? The impact of the VW emission-cheating scandal on the interrelation between large automakers' equity and credit markets
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار، مدیریت و حسابداری (عمومی)
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
This paper investigates the change in the securities market pricing behavior of 16 large, global automakers following disclosure of the Volkswagen (VW) emission-cheating scandal on September 18, 2015, when the EPA issued a notice of violation to VW, stating that VW had intentionally circumvented the US clean air rules for diesel automobile emissions. We contend that this event unblocked an informational cascade, in that much of the information was already known to outside parties, yet no significant market response occurred until the September 18 EPA notice. We also find a significant change in the evolution of equity and credit default swap (CDS) prices in the automobile industry consistent with more-informed trading in the equity market. A test of economic significance further supports this finding by showing a decrease in the profitability of a trading rule based on a predictive relation between CDS spread changes and lagged equity returns.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Contemporary Accounting & Economics - Volume 14, Issue 2, August 2018, Pages 179-196
Journal: Journal of Contemporary Accounting & Economics - Volume 14, Issue 2, August 2018, Pages 179-196
نویسندگان
Paul A. Griffin, David H. Lont,