Apergis, Nicholas; Eleftheriou, Sofia - In: International Journal of Banking, Accounting and Finance 4 (2012) 4, pp. 315-341
This paper examines the role of accounting, market and macroeconomic information in explaining the cross-sectional variation of credit default swap spreads. The study proposes a panel FAVAR methodological approach to combine the additional predictions from a long list of accounting, market and...