Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS

Santiago Forte, Juan Ignacio Peña

Producció científica: Article en revista indexadaArticleAvaluat per experts

185 Cites (Scopus)

Resum

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.

Idioma originalAnglès
Pàgines (de-a)2013-2025
Nombre de pàgines13
RevistaJournal of Banking and Finance
Volum33
Número11
DOIs
Estat de la publicacióPublicada - de nov. 2009
Publicat externament

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