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Credit spreads: theory and evidence about the information content of stocks, bonds and cdss

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorPeña, Juan Ignacio
dc.contributor.authorForte, Santiago
dc.date.accessioned2006-11-07T11:27:08Z
dc.date.available2006-11-07T11:27:08Z
dc.date.issued2006-05
dc.description.abstractThis paper presents a procedure for computing homogeneous measures of credit risk from stocks, bonds and CDSs. The measures are based on bond spreads (BS), CDS spreads (CDS) and implied stock market credit spreads (ICS). We compute these measures for a sample of North American and European firms and find that in most cases, the stock market leads the credit risk discovery process with respect to bond and CDS markets.
dc.format.extent703744 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.repecwb063310
dc.identifier.urihttps://hdl.handle.net/10016/125
dc.language.isoeng
dc.language.isoeng
dc.relation.hasversionhttp://e-archivo.uc3m.es/handle/10016/7095
dc.relation.ispartofseriesUC3M Working Papers. Bussiness Economics
dc.relation.ispartofseries2006-10
dc.rights.accessRightsopen access
dc.subject.ecienciaEmpresa
dc.titleCredit spreads: theory and evidence about the information content of stocks, bonds and cdss
dc.typeworking paper*
dspace.entity.typePublication
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