This paper adds to the literature on the financial markets' reaction to government interventions during the 2007-2009 financial crisis by analyzing the response of US firms' credit default swap spreads to key government actions. We find that the government measures taken to stabilize both the...

This paper adds to the literature on the financial markets' reaction to government interventions during the 2007-2009 financial crisis by analyzing the response of US firms' credit default swap spreads to key government actions. We find that the government measures taken to stabilize both the...

The Credit Default Swap (CDS) market is a rapidly growing market in which participants such as banks and hedge funds actively trade credit risk. The increasing availability of pricing data has made the CDS market a growing area for empirical research. Much of that research focuses on three...

This paper examines the CDS market's response to earnings announcements. The results indicate that earnings announcements contain valuable information with statistically significant announcement date effects. Additionally, the CDS market anticipates negative earnings surprises as prices begin to...

This paper examines the efficiency of the CDS market by conducting a comparative event study in which both the CDS and the stock markets' responses to earnings announcements are considered. I find that both markets have statistically significant reactions to earnings announcements and both...

This paper examines the CDS market's response to earnings announcements. The results indicate that earnings announcements contain valuable information with statistically significant announcement date effects. Additionally, the CDS market anticipates negative earnings surprises as prices begin to...

This paper explores the ability of variables suggested by structural models to explain variation in CDS spread changes. Using monthly changes in CDS spreads for 333 firms from January, 2001-March, 2006, I find that these variables are able to explain thirty percent of the variation in CDS spread...

This paper explores the ability of variables suggested by structural models to explain variation in CDS spread changes. Using monthly changes in CDS spreads for 333 firms from January, 2001 – March, 2006, I find that these variables are able to explain thirty percent of the variation in...