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Trading the bond-CDS basis : the role of credit risk and liquidity

Gehde-Trapp, Monika - 2009

We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously … entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them … to repeatedly earn the difference between the bond asset swap spread and the CDS, known as the basis. We show that the …

Persistent link: https://www.econbiz.de/10003919401

CEO Compensation and Credit Default Swaps : Evidence from the U.S. And Germany

Chiu, Hsin-Hui - 2017

Executive compensation is designed to create incentives for CEOs to act in the best interest of shareholders. Short-term (bonus) and equity-based incentives induce risk taking behaviors of the CEO that could further change a firm's risk exposure. This article examines the linkage between...

Persistent link: https://www.econbiz.de/10012974940

Stock Returns, Leverage, and the COVID-19 Pandemic

Davison, Colin - 2020

their major intervention into the corporate bond market on March 23, 2020. In the period from March 23, 2020-March 24, 2020 … the Federal Reserve's unprecedented intervention into the corporate bond market …

Persistent link: https://www.econbiz.de/10012831163

Sooner or later: delays in trade reporting by corporate insiders

Betzer, André (contributor); Theissen, Erik (contributor) - 2008

managers of these firms are less responsive to the informational requirements of the capital market. We further find that …

Persistent link: https://www.econbiz.de/10003761182

Long-Run Stock Performance of German Initial Public Offerings : Survey and Update

Pryshchepa, Oksana - 2012

Previous estimates of the mean 3-year buy-and hold abnormal returns of German IPO stocks range from -52.20% to 1.66%. It is difficult to justify this significant variation in abnormal returns, given the almost identical calculation procedures and the large overlap in sample periods. We argue...

Persistent link: https://www.econbiz.de/10013107674

Credit Spreads : An Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS

Forte, Santiago - 2012

This paper explores the dynamic relationship between stock market implied credit spreads, CDS spreads, and bond spreads …

Persistent link: https://www.econbiz.de/10012755686

Spillover Effects from the Volkswagen Emissions Scandal : An Analysis of Stock, Corporate Bond, and Credit Default Swap Markets

Barth, Florian - 2019

The Volkswagen emissions scandal is by far the largest case of emissions cheating in automotive history and had wide-reaching consequences for the industry throughout the world. This study examines the spillover effects to competitors and suppliers following Volkswagen's public admission of...

Persistent link: https://www.econbiz.de/10012900398

The Skew Pattern of Implied Volatility in the DAX Index Options Market

Muzzioli, Silvia - 2012

The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to moneyness and option type and to compare option-based forecasts with historical volatility. The different information content of implied volatility is examined for the most...

Persistent link: https://www.econbiz.de/10013110064

The political uncertainties of the United Kingdom-2022 and stock market reactions : an event study analysis for LSE and other major European stock markets

Krishna T. A.; Suresha B.; Koshy, Elizabeth Renju; … - In: Scientific papers of the University of Pardubice 32 (2024) 1, pp. 1-23

traders, investors, portfolio managers and analysts. The findings will provide insights for them to devise trading strategies …

Persistent link: https://www.econbiz.de/10015425624

S&P 500 Index‐Futures Price Jumps and Macroeconomic News

Miao, Hong - 2018

This study examines the influence of macroeconomic news on price discontinuities in the S&P 500 index futures. Results document a strong association between macro news and price jumps. Over three‐fourths of the price jumps between 8:30 am and 8:35 am and over three‐fifths of the jumps...

Persistent link: https://www.econbiz.de/10012940385