Show simple item record

dc.contributor.authorLin, Ming-Tsung
dc.contributor.authorKolokolova, Olga
dc.contributor.authorPoon, Ser-Huang
dc.date.accessioned2019-09-26T08:00:16Z
dc.date.available2019-09-26T08:00:16Z
dc.date.issued2019-09-23
dc.identifier.citationLin, 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,en
dc.identifier.issn1351-847X
dc.identifier.urihttps://dora.dmu.ac.uk/handle/2086/18518
dc.descriptionThe 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.en
dc.description.abstractThis 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.en
dc.language.isoenen
dc.publisherTaylor & Francisen
dc.subjectCDS spreaden
dc.subjectcredit risken
dc.subjectliquidity risken
dc.subjectsystematic factorsen
dc.titleSlow- and fast-moving information content of CDS spreads: new endogenous systematic factorsen
dc.typeArticleen
dc.identifier.doihttps://dx.doi.org/10.1080/1351847X.2019.1667846
dc.peerreviewedYesen
dc.funderNo external funderen
dc.cclicenceCC-BY-NCen
dc.date.acceptance2019-09-03
dc.researchinstituteFinance and Banking Research Group (FiBRe)en


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record