We show that accounting information releases generate large and immediate price impacts, i.e. jumps, in credit default … of confounding news, such as credit events and other simultaneous news arrivals. The economic impact of accounting news …, and unscheduled announcements are more likely to cause jumps than scheduled ones. The arrival of accounting information is …

This paper examines the direct relevance of accounting information for credit default swap (CDS) pricing. Prior … research on the impact of accounting information for CDS pricing has neglected to include either the output of theoretical CDS … pricing models or credit ratings, both of which should impound credit relevant accounting information. Both in- and out …