Credit markets and financial information |
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Authors: | Stephen Lok Scott Richardson |
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Institution: | (1) BlackRock, London, UK;(2) London Business School, Sussex Place, Regent’s Park, London, NW1 4SA, UK |
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Abstract: | The last decade has seen rapid growth in trading of credit instruments on secondary markets. The ensuing availability of a
rich set of credit market data has created a novel environment for testing a variety of financial economic theories. In this
discussion, we provide a simple framework for linking asset pricing research using equity and credit market data and offer
some suggestions for future archival empirical research aiming to establish relations between financial information and credit
markets. Credit instruments are intrinsically linked to equity instruments. The strength of this link varies temporally and
cross-sectionally in measurable ways that can, and should be, used to guide future empirical research linking information
to credit markets. |
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Keywords: | |
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