In this paper we investigate the price discovery process in single-name credit spreads obtained from bond, credit default swap (CDS), equity and equity option prices. We analyse short term price discovery by modelling daily changes in credit spreads in the four markets with a vector...

This study explores how a firm's credit risk affects accounting based valuation of the firm, of its equity and of its debt. The valuation model integrates fundamental equity and credit analysis and, under appropriate conditions, abides by the value conservation principle even in the presence of...

A rational investor will believe that an efficient market today will remain efficient tomorrow. However, when emotions take over, markets are no longer efficient. Further, they may remain so for longer anyone can forecast. Evidence of such inefficiencies is prominent in large emerging markets in...