Information efficiency of the U.S. credit default swap market: Evidence from earnings surprises

► We investigate information efficiency of the U.S. CDS market using evidence from earnings surprises. ► Negative earnings surprises are well anticipated in the CDS market in the 1-month prior to the announcement. ► Anticipation effect for negative earnings surprises is both economically and statistically stronger for speculative-grade firms than for investment-grade firms. ► The CDS spread for speculative-grade firms shows abnormal changes on the announcement day for both positive and negative earnings surprises. ► There is no post-earnings announcement drift in the CDS market, in contrast with the well-documented post-earnings drift in the stock market.