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

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dc.contributor.author Peña Sánchez de Rivera, Juan Ignacio
dc.contributor.author Forte, Santiago
dc.date.accessioned 2006-11-07T11:27:08Z
dc.date.available 2006-11-07T11:27:08Z
dc.date.issued 2006-05
dc.identifier.uri http://hdl.handle.net/10016/125
dc.description.abstract This 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.extent 703744 bytes
dc.format.mimetype application/pdf
dc.language.iso eng
dc.language.iso eng
dc.relation.ispartofseries UC3M Working Papers. Bussiness Economics
dc.relation.ispartofseries 2006-10
dc.relation.hasversion http://e-archivo.uc3m.es/handle/10016/7095
dc.title Credit spreads: theory and evidence about the information content of stocks, bonds and cdss
dc.type workingPaper
dc.subject.eciencia Empresa
dc.rights.accessRights openAccess
dc.identifier.repec wb063310
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