Wengner, Andreas; Burghof, Hans-Peter; Schneider, Johannes - In: Journal of Economics and Business 78 (2015) C, pp. 79-91
This study examines the impact of S&P rating events on the credit default swap (CDS) spread of firms and the spillover effect on competitors for the period 2004–2011. We find that both credit downgrades and upgrades have an impact on the CDS spread of event and non-event firms on the event...