Slow- and fast-moving information content of CDS spreads : new endogenous systematic factors

Lin, Ming Tsung and Kolokolova, Olga and Poon, Ser Huang (2021) Slow- and fast-moving information content of CDS spreads : new endogenous systematic factors. European Journal of Finance, 27 (1-2). pp. 136-157. ISSN 1351-847X

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Abstract

This paper proposes two new Credit Default Swap (CDS) endogenous systematic factors constructed from peer-CDS information. The factors capture slow-moving credit risk information, as well as fast-moving newly arrived market information embedded in the most recent CDS quotes. Using a sample of U.S. non-financial listed firms from 2002 to 2011, we find that these two endogenous systematic factors dominate firm-specific factors and other widely known systematic factors in in-sample and out-of-sample CDS spread predictions.

Item Type:
Journal Article
Journal or Publication Title:
European Journal of Finance
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2000/2001
Subjects:
?? cds spreadcredit riskliquidity risksystematic factorseconomics, econometrics and finance (miscellaneous) ??
ID Code:
203621
Deposited By:
Deposited On:
18 Sep 2023 09:00
Refereed?:
Yes
Published?:
Published
Last Modified:
16 Jul 2024 00:10