Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5100665 | Journal of Financial Markets | 2017 | 62 Pages |
Abstract
Price discovery contributions of equity and credit default swap (CDS) markets for U.S. firms with intraday data in 2009-2013 are examined using information and component shares metrics. Particular attention is paid to the drawbacks of these metrics because of unobservable factors such as microstructure noise and model error. While no market generally exhibits a price-discovery advantage, the CDS market's contribution increases strongly and significantly for after-hours OTC trading and for negative earnings surprises, especially with high firm-specific uncertainty. We provide some evidence that surprises contained in various macroeconomic announcements are associated with greater relative price discovery in the CDS market.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Lawrence Kryzanowski, Stylianos Perrakis, Rui Zhong,