Price discovery in CDS and equity markets : default risk-based heterogeneity in the systematic investment grade and high yield sectors
Year of publication: |
2021
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Authors: | Procasky, William J. |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 54.2021, p. 1-15
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Subject: | Credit derivatives | Credit spreads | Market efficiency | Price discovery | Lead-lag relationship | CDS indices | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Derivat | Derivative | Effizienzmarkthypothese | Efficient market hypothesis | Zinsstruktur | Yield curve | Börsenkurs | Share price | Risikoprämie | Risk premium | Theorie | Theory | Aktienmarkt | Stock market |
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