投资者交易基于行业部门的信用风险与系统信用风险不同吗?

IF 0.4 Q4 BUSINESS, FINANCE
William J. Procasky, Brian Petrus
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引用次数: 0

摘要

作者研究了Markit CDX.NA.IG指数基于行业部门的子指数与匹配的股票投资组合之间的价格发现和信息流,以确定它们是否与综合指数不同,可能是由于不同的商业风险和系统因素或投资者偏好的暴露。他们发现,尽管在系统市场中,两个市场在新信息的定价方面都没有领先于另一个市场,但基于行业的匹配股票投资组合在捕捉这些信息方面始终领先于CDS子指数。唯一的例外是技术、媒体和电信部门,他们在那里观察到双向互动效应。他们将这种影响归因于该行业相对较大的增长前景和相关投资者的关注。这些发现表明,投资者交易基于行业的CDS指数可能与系统指数截然不同。关键发现▪ Markit CDX.NA.IG指数基于行业部门的子指数与匹配的股票投资组合之间的价格发现和信息流不同于综合指数,也不同于行业本身。投资者交易基于行业的CDS指数与系统指数非常不同,这一发现对使用CDS指数作为信息内容的利益相关者具有启示意义。▪ 尽管在系统市场中,两个市场在新信息定价方面都不领先,但五个基于行业的匹配股票投资组合中有四个在获取这些信息方面领先于各自的CDS子指数。▪ 技术、媒体和电信行业存在双向互动信息流,这表明相对于其他行业,投资者更感兴趣。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Do Investors Trade Industry Sector-Based Credit Risk Differently Than Systematic Credit Risk?
The authors examine price discovery and informational flow between the industry sector-based subindices of the Markit CDX.NA.IG Index and matched portfolios of stocks to ascertain whether they differ from the composite index and one another, possibly due to differing business risk and exposure to systematic factors or investor preferences. They find that although neither market leads the other in pricing in new information in the systematic markets, sector-based matched equity portfolios persistently lead CDS subindices in capturing this information. The only exception is the technology, media, and telecommunications sector, where they observe a two-way interactive effect. They attribute the effect to the comparatively greater growth prospects in this sector and related investor attention. These findings suggest that investors may trade sector-based CDS indices very differently than systematic indices. Key Findings ▪ Price discovery and informational flow between the industry sector-based subindices of the Markit CDX.NA.IG Index and matched portfolios of stocks differs from the composite index as well as within the sectors themselves. Investors trade sector-based CDS indices very differently than systematic indices, a finding with implications for stakeholders who use CDS indices for their informational content. ▪ Although neither market leads the other in pricing in new information in the systematic markets, four of the five sector-based matched equity portfolios lead their respective CDS subindices in capturing this information. ▪ There is a two-way interactive information flow within the technology, media, and telecommunications sector, suggesting more investor interest relative to the other sectors.
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来源期刊
CiteScore
1.50
自引率
14.30%
发文量
40
期刊介绍: The Journal of Alternative Investments (JAI) provides you with cutting-edge research and expert analysis on managing investments in hedge funds, private equity, distressed debt, commodities and futures, energy, funds of funds, and other nontraditional assets. JAI is the official publication of the Chartered Alternative Investment Analyst Association (CAIA®). JAI provides you with challenging ideas and practical tools to: •Profit from the growth of hedge funds and alternatives •Determine the optimal mix of traditional and alternative investments •Measure and track portfolio performance •Manage your alternative investment portfolio with proven risk management practices
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