The effects of credit default swap trading on information asymmetry in syndicated loans
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DOI: 10.1016/j.jfineco.2016.10.001
Abstract: This study shows that initiation of credit default swap (CDS) trading for an entity's debt increases the share of loans retained by loan syndicate lead arrangers and increases loan spread. These findings are consistent with… read more here.
Keywords: default swap; loan; effects credit; credit default ... See more keywords
Volatility spillovers and connectedness among credit default swap sector indexes
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DOI: 10.1080/00036846.2018.1430344
Abstract: ABSTRACT This article studies volatility spill-over effects and market connectedness using daily data of credit default swap spreads for U.S. companies over a period from 2007 to 2012. We quantify volatility spillovers by means of… read more here.
Keywords: volatility; credit default; market; sector ... See more keywords