Finnerty, John D.; Miller, Cameron D.; Chen, Ren-Raw - In: Journal of Banking & Finance 37 (2013) 6, pp. 2011-2030
We document the ability of the credit default swap (CDS) market to anticipate favorable as well as unfavorable credit rating change (RC) announcements based on more extensive samples of credit rating events and CDS spreads than previous studies. We obtain four new results. In contrast to prior...