Slow- and fast-moving information content of CDS spreads: new endogenous systematic factors
Date
2019-09-23
Advisors
Journal Title
Journal ISSN
ISSN
1351-847X
Volume Title
Publisher
Taylor & Francis
Type
Article
Peer reviewed
Yes
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.
Description
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.
Keywords
CDS spread, credit risk, liquidity risk, systematic factors
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,