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
The impact of tradeoff between risk and return on mean reversion in sovereign CDS markets
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DOI: 10.1016/j.ribaf.2018.12.013
Abstract: Abstract This paper examines whether the intertemporal tradeoffs between risk and return explain mean reversion in sovereign CDS spreads. I test how mean reversion prevents the explosiveness of CDS spreads in Europe. The relationship between… read more here.
Keywords: reversion sovereign; finance; sovereign cds; risk return ... See more keywords
The COVID-19 pandemic and sovereign credit risk
Sign Up to like & getrecommendations! Published in 2021 at "China Finance Review International"
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