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Did investors seeking short exposure move to the CDS market after the 2011 short-sale bans in European financial stocks?
Silva, Paulo Pereira da - In: Finance a úvěr 66 (2016) 4, pp. 322-353
Persistent link: https://www.econbiz.de/10011532810
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Price discovery in the markets for credit risk : a Markov switching approach
Dimpfl, Thomas; Peter, Franziska Julia - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 3, pp. 233-249
Persistent link: https://www.econbiz.de/10011507523
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Credit derivatives and analyst behavior
Batta, George Eli; Qiu, Jiaping; Yu, Fan - In: The accounting review : a publication of the American … 91 (2016) 5, pp. 1315-1343
Persistent link: https://www.econbiz.de/10011562607
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Investor sentiment, flight-to-quality, and corporate bond comovement
Bethke, Sebastian - In: Essays on the determinants of corporate bond yield spreads, (pp. 9-51). 2016
Persistent link: https://www.econbiz.de/10011733591
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The impact of the 2011 short-sale ban on financial stability : evidence from the Spanish stock market
Arce, Óscar; Mayordomo, Sergio - In: European financial management : the journal of the … 22 (2016) 5, pp. 1001-1022
Persistent link: https://www.econbiz.de/10011713407
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Price discovery in the CDS market : evidence from corporate acquisitions
Ismailescu, Iuliana; Phillips, Blake; Xu, Xiaowei - In: The Quarterly Journal of Finance : QJF 13 (2023) 4, pp. 1-33
Persistent link: https://www.econbiz.de/10014490269
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Market expectations and default risk premium in credit default swap prices : a study of Argentine default
Zhang, Frank Xiaoling - In: The journal of fixed income 18 (2008/09) 1, pp. 37-55
Persistent link: https://www.econbiz.de/10003757570
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An empirical comparison of credit spreads between the bond market and the credit default swap market
Zhu, Haibin - In: Journal of financial services research : JFSR 29 (2006) 3, pp. 211-235
Persistent link: https://www.econbiz.de/10003328587
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Credit default swap rates and stock prices
Realdon, Marco - In: Applied financial economics letters 4 (2008) 4/6, pp. 241-248
Persistent link: https://www.econbiz.de/10003807565
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A value at risk analysis of credit default swaps
Raunig, Burkhard; Scheicher, Martin - 2008
We investigate the risk of holding credit default swaps (CDS) in the trading book and compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm's equity using a sample of CDS stock price pairs for 86 actively traded firms over the period from March 2003 to...
Persistent link: https://www.econbiz.de/10003825863