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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

Are Algorithmic Trades Informed? - An Empirical Analysis of Algorithmic Trading Around Earnings Announcements

Frino, Alex - 2015

This study examines the impact of corporate earnings announcements on trading activity and speed of price adjustment, analyzing algorithmic and non–algorithmic trades during the immediate period pre– and post– corporate earnings announcements. We confirm that algorithms react faster and...

Persistent link: https://www.econbiz.de/10013036599

Stock Price Reaction to Supervisory Board Interventions : Empirical Evidence from Germany

Vetter, Karin - 2015

Within the discussion about an efficient corporate governance system, considerable attention has been paid to the supervisory board's responsibility to monitor top executives raising the question about the value relevance of supervisory board's actions (i.e., control). We conduct an event study...

Persistent link: https://www.econbiz.de/10013038344