Are financial ratios relevant for trading credit risk? Evidence from the CDS market
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DOI: 10.1007/s10479-016-2373-3
Abstract: We propose a combination of LASSO with panel-consistent estimation methods to investigate whether financial ratios are used in the decision-making process of CDS traders. Our results indicate that financial statement information does play a role… read more here.
Keywords: credit risk; trading; relevant trading; trading credit ... See more keywords