Showing 1 - 10 of 27
Persistent link: https://www.econbiz.de/10013164867
The sovereign CDS market has been growing rapidly in recent years, with a gross notional amount of around 2 trillion dollars in 2015. We document a strong momentum effect in this market. Its unique feature is that this momentum strategy returns are positively skewed and higher during recessions....
Persistent link: https://www.econbiz.de/10012872253
Stock market trading restrictions affect stock prices and liquidity directly through constraints on investors' transactions and indirectly by altering the information environment. We isolate this indirect effect by analyzing how stock market restrictions affect corporate-bond prices. Exploiting...
Persistent link: https://www.econbiz.de/10012850173
Sovereign CDS spreads have unique predictive power for future stock market index returns, sovereign bond yields, as well as real macroeconomic variables such as GDP and PMI. The predictive power comes almost entirely from the global, rather than country-specific, component of sovereign CDS...
Persistent link: https://www.econbiz.de/10012854667
Persistent link: https://www.econbiz.de/10013207486
The ISDA CDS standard model assumes a single flat hazard rate (default intensity) rather than a term structure of hazard rates. This assumption introduces biases into CDS spreads for empirical research after the CDS Big Bang. This paper is the first to document the biases and provide a simple...
Persistent link: https://www.econbiz.de/10012845187
Persistent link: https://www.econbiz.de/10011369089
Persistent link: https://www.econbiz.de/10009733347
Persistent link: https://www.econbiz.de/10010225076
Persistent link: https://www.econbiz.de/10010227314