股票和CDS市场的信用风险发现:谁领导，何时领导，为什么领导

IF 0.4 4区经济学 Q4 BUSINESS, FINANCE

Journal of Derivatives Pub Date : 2009-12-17 DOI:10.2139/ssrn.1183202

Santiago Forte, Lidija Lovreta

{"title":"股票和CDS市场的信用风险发现:谁领导，何时领导，为什么领导","authors":"Santiago Forte, Lidija Lovreta","doi":"10.2139/ssrn.1183202","DOIUrl":null,"url":null,"abstract":"This paper analyzes the dynamic relationship between CDS spreads and stock market implied credit spreads (ICS) for a large international set of companies during the period 2002-2004. We find the relationship between these credit spread measures to be stronger, and the probability of the stock market leading credit risk discovery to be higher, at the lower credit quality levels. However, consistent with the argument of insider trading in credit derivatives, we document a positive relationship between the frequency of severe credit downturns and the probability of the CDS market leading price discovery. Apart from these findings, our results suggest a slight informational dominance of the stock market that declines over time.","PeriodicalId":40006,"journal":{"name":"Journal of Derivatives","volume":"10 1","pages":""},"PeriodicalIF":0.4000,"publicationDate":"2009-12-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"21","resultStr":"{\"title\":\"Credit Risk Discovery in the Stock and CDS Markets: Who Leads, When, and Why‘\",\"authors\":\"Santiago Forte, Lidija Lovreta\",\"doi\":\"10.2139/ssrn.1183202\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper analyzes the dynamic relationship between CDS spreads and stock market implied credit spreads (ICS) for a large international set of companies during the period 2002-2004. We find the relationship between these credit spread measures to be stronger, and the probability of the stock market leading credit risk discovery to be higher, at the lower credit quality levels. However, consistent with the argument of insider trading in credit derivatives, we document a positive relationship between the frequency of severe credit downturns and the probability of the CDS market leading price discovery. Apart from these findings, our results suggest a slight informational dominance of the stock market that declines over time.\",\"PeriodicalId\":40006,\"journal\":{\"name\":\"Journal of Derivatives\",\"volume\":\"10 1\",\"pages\":\"\"},\"PeriodicalIF\":0.4000,\"publicationDate\":\"2009-12-17\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"21\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Derivatives\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.1183202\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Derivatives","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.2139/ssrn.1183202","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 21

摘要

本文分析了2002-2004年期间大型跨国公司CDS价差与股票市场隐含信用价差(ICS)之间的动态关系。我们发现，在信贷质量水平较低的情况下，这些信贷价差指标之间的关系更强，股票市场导致信贷风险发现的概率更高。然而，与信用衍生品内幕交易的论点一致，我们记录了严重信贷衰退的频率与CDS市场领先价格发现的概率之间的正相关关系。除了这些发现之外，我们的研究结果表明，股票市场的信息优势随着时间的推移而下降。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Credit Risk Discovery in the Stock and CDS Markets: Who Leads, When, and Why‘

This paper analyzes the dynamic relationship between CDS spreads and stock market implied credit spreads (ICS) for a large international set of companies during the period 2002-2004. We find the relationship between these credit spread measures to be stronger, and the probability of the stock market leading credit risk discovery to be higher, at the lower credit quality levels. However, consistent with the argument of insider trading in credit derivatives, we document a positive relationship between the frequency of severe credit downturns and the probability of the CDS market leading price discovery. Apart from these findings, our results suggest a slight informational dominance of the stock market that declines over time.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of Derivatives Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.30

自引率

14.30%

发文量

期刊介绍： The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets