Credit default swap spreads and annual report readability
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DOI: 10.1007/s11156-017-0639-8
Abstract: This paper investigates whether annual report readability matters to CDS market participants and how it affects their evaluation on a firm’s credit risk, as measured by CDS spreads. We find that the less readable the… read more here.
Keywords: cds spreads; credit; annual report; report readability ... See more keywords
What determines bank CDS spreads? Evidence from European and US banks
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DOI: 10.1016/j.frl.2016.12.035
Abstract: We examine the determinants of CDS spreads for a sample of European and US banks. The key balance sheet determinants are leverage, asset quality, funding stability, and bank size, and the key market determinants are… read more here.
Keywords: cds spreads; determines bank; spreads evidence; bank cds ... See more keywords
It is not only what you say, but how you say it: ESG, corporate news, and the impact on CDS spreads
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DOI: 10.1016/j.gfj.2020.100571
Abstract: Abstract We assess the influence of corporate news on costs of financing for a sample of large European and U.S. firms from 2006 to 2016. Focusing on environmental, social, and governance (ESG) news items, we… read more here.
Keywords: cds spreads; news; say esg; corporate news ... See more keywords
Sovereign CDS and mutual funds: Global evidence
Sign Up to like & getrecommendations! Published in 2021 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2021.101354
Abstract: Abstract In this paper, we study the impact of sovereign CDS on equity mutual funds across 24 developed and emerging market countries. Our investigation builds on the premise that mutual funds flow and performance respond… read more here.
Keywords: cds spreads; sovereign cds; cds mutual; mutual funds ... See more keywords
Volatility Transmission from Commodity Markets to Sovereign CDS Spreads in Emerging and Frontier Countries
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DOI: 10.1016/j.irfa.2016.11.001
Abstract: We investigate the volatility transmission from commodities to sovereign credit defaults swaps (CDS) spreads of emerging and frontier markets. Using daily data for seventeen emerging and six frontier countries, we document a significant volatility spillover… read more here.
Keywords: cds spreads; volatility; transmission; spreads emerging ... See more keywords
The COVID-19 pandemic and sovereign credit risk
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DOI: 10.1108/cfri-01-2021-0010
Abstract: Purpose: The purpose of this study is to examine the effects of the coronavirus disease 2019 (COVID-19) pandemic on sovereign credit default swap (CDS) spreads using a large sample of countries. Design/methodology/approach: In this paper,… read more here.
Keywords: cds spreads; sovereign cds; pandemic sovereign; sovereign credit ... See more keywords
Measuring Sovereign Risk: Are CDS Spreads Better than Sovereign Credit Ratings?
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DOI: 10.1111/fima.12223
Abstract: Using data for 54 countries over a 12‐year period, we find that the variation in average sovereign ratings in a given year can be explained by average credit default swap (CDS) spreads over the previous… read more here.
Keywords: cds spreads; measuring sovereign; sovereign; risk cds ... See more keywords