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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/7095
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| Title: | Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS. |
| Author(s): | Forte, Santiago
Peña Sánchez de Rivera, Juan Ignacio [ypenya] |
| Publisher: | Elsevier |
| Issued date: | Nov-2009 |
| Citation: | Journal of Banking and Finance, November 2009, vol. 33, nº 11, p.2013-2025. |
| URI: | http://hdl.handle.net/10016/7095 |
| ISSN: | 0378-4266 |
| DOI: | http://dx.doi.org/10.1016/j.jbankfin.2009.04.015 |
| Abstract: | This paper explores the dynamic relationship between stock market implied credit spreads, CDS spreads, and bond spreads. A general VECM representation is proposed for changes in the three credit spread measures which accounts for zero, one, or two independent cointegration equations, depending on the evidence provided by any particular company. Empirical analysis on price discovery, based on a proprietary sample of North American and European firms, and tailored to the specific VECM at hand, indicates that stocks lead CDS and bonds more frequently than the other way round. It likewise confirms the leading role of CDS with respect to bonds. |
| Review: | PeerReviewed |
| Version of: | http://hdl.handle.net/10016/125 |
| Publisher version: | http://dx.doi.org/10.1016/j.jbankfin.2009.04.015 |
| Keywords: | Credit spreads
Price discovery |
| JEL Classification: | G12
G14
G20
D8 |
| Rights: | ©Elsevier |
| Appears in Collections: | DEE - Artículos de Revistas
Economists Online
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