@article{e4467b10bc584f46a4b5af0724901451,
title = "Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS",
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.",
keywords = "Credit spreads, Price discovery",
author = "{Forte Arcos}, S. and Pe{\~n}a, {Juan Ignacio}",
note = "Funding Information: This paper was partially drafted during the visit of Santiago Forte to the Department of Finance at Tilburg University. We acknowledge financial support from MEC Grants Refs: AP2000-1327, BEC2002-0279, and SEJ2005-05485, and thank Philippe Gagnepain, Hao Wang, Bas Werker, Max Bruche and Carmen Ansotegui for helpful suggestions. We also acknowledge comments from seminar audiences at Universidad Carlos III de Madrid, Banco de Espa{\~n}a, ESADE Business School, XIII Foro de Finanzas, C.R.E.D.I.T. 2005 Conference, EFMA Conference 2006, and FMA European Conference 2007. We are also grateful to Banco Santander for allowing access to their data on CDS spreads. The usual disclaimers apply.",
year = "2009",
month = nov,
doi = "10.1016/j.jbankfin.2009.04.015",
language = "English",
volume = "33",
pages = "2013--2025",
journal = "Journal of Banking and Finance",
issn = "0378-4266",
publisher = "Elsevier B.V.",
number = "11",
}