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
Full text not available from this repository.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.