Slow- and fast-moving information content of CDS spreads: new endogenous systematic factors
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.
The file attached to this record is the author's final peer reviewed version. The Publisher's final version can be found by following the DOI link.
Citation : Lin, M.T., Kolokolova, O. and Poon, S-H. (2019) Slow- and fast- moving information content of CDS spreads: new endogenous systematic factors. The European Journal of Finance,
ISSN : 1351-847X
Research Institute : Finance and Banking Research Group (FiBRe)
Peer Reviewed : Yes