This paper analyzes the dynamic relationship between CDS spreads and stock market implied credit spreads ICS for a large international set of companies during the period We find the relationship between these credit spread measures to be stronger, and the probability of the stock market leading credit risk discovery to be higher, at the lower credit quality levels.

However, consistent with the argument of insider trading in credit derivatives, we document a positive relationship between the frequency of severe credit downturns and the probability of the CDS market leading price discovery. Apart from these findings, our results suggest a slight informational dominance of the stock market that declines over time. Forte, Santiago and Lovreta, Lidija, Credit Risk Discovery in the Stock and CDS Markets: Subscribe to this fee journal for more curated articles on this topic.

Explaining the Rate Spread on Corporate Bonds. By Edwin EltonMartin GruberThe Determinants of Credit Spread Changes. By Pierre Collin-dufresneJ.

How Much of Corporate-Treasury Yield Spread is Due to Credit Risk? By Jing-zhi Huang and Ming Huang. How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk? Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market.

By Francis LongstaffSanjay Mithal non-qualified stock options and bargain element, Equity Volatility and Corporate Bond Yields. By John Campbell and Glen Taksler. Structural Models of Corporate Bond Pricing: By Young EomJing-zhi HuangAn Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps.

By Roberto BlancoSimon BrennanCookies are used by this site. To decline or learn more, visit credit risk discovery in the stock and cds markets who leads when and why Cookies page. This page was processed by apollo3 in 0.

Your Account User Home Personal Info Affiliations Subscriptions My Papers My Briefcase Sign out. Download this Paper Open PDF in Browser Share: Using the URL or DOI link below will ensure access to this page glasgow caledonian university strategy 2015. Santiago Forte ESADE Business School, Ramon Llull University Lidija Lovreta Autonomous University of Barcelona.

Abstract This paper analyzes the dynamic relationship between CDS spreads and stock market implied credit spreads ICS for a large international set of companies during the period Santiago Forte ESADE Business School, Ramon Llull University email Av.

Lidija Lovreta Contact Author Autonomous University of Barcelona email Edifici B, Campus UAB Bellaterra, Barcelona Spain.

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Derivatives eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS. Recommended Papers Explaining the Rate Spread on Corporate Bonds By Edwin EltonMartin GruberThe Determinants of Credit Spread Changes By Pierre Collin-dufresneJ. By Jing-zhi Huang and Ming Huang How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?

Credit Risk Discovery in the Stock and CDS Markets: Who Leads, When, and Why‘ by Santiago Forte, Lidija Lovreta :: SSRN

By Jing-zhi Huang and Ming Huang Corporate Yield Spreads: New Evidence from the Credit-Default Swap Market By Francis LongstaffSanjay MithalEquity Volatility and Corporate Bond Yields By John Campbell and Glen Taksler Equity Volatility and Corporate Bond Yields By John Campbell and Glen Taksler Structural Models of Corporate Bond Pricing: An Empirical Analysis By Young EomJing-zhi HuangAn Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps By Roberto BlancoSimon BrennanEastern, Monday - Friday.

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Time-Varying Credit Risk Discovery in the Stock and CDS Markets: Evidence from Quiet and Crisis Times - Forte - - European Financial Management - Wiley Online Library

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