Dynamics and Determinants of Credit Risk Discovery: Evidence from CDS and Stock Markets
(2017)
Journal Article
Chau, F., Han, C., & Shi, S. (2018). Dynamics and Determinants of Credit Risk Discovery: Evidence from CDS and Stock Markets. International Review of Financial Analysis, 55, 156-169. https://doi.org/10.1016/j.irfa.2017.11.004
This paper investigates the dynamics and drivers of credit risk discovery between stock and CDS markets in the US. Our research is distinguished from the existing literature in three aspects: 1) we employ an improved method to measure the information... Read More about Dynamics and Determinants of Credit Risk Discovery: Evidence from CDS and Stock Markets.