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1.
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 总被引:17,自引:0,他引:17
We use the information in credit default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads. We find that the majority of the corporate spread is due to default risk. This result holds for all rating categories and is robust to the definition of the riskless curve. We also find that the nondefault component is time varying and strongly related to measures of bond‐specific illiquidity as well as to macroeconomic measures of bond market liquidity. 相似文献
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Structural models of default establish a relation across the fair values of various asset classes (equity, bonds, credit derivatives) referring to the same company. In most circumstances such relation is verified in practice, as different financial assets tend to move in the same direction at similar speed. However, occasional deviations from the theoretical fair values occur, especially in times of financial turmoil. Understanding how the dynamics of the theoretical fair values of various assets compares to that of their market values is crucial to a number of market participants. This paper investigates whether a popular structural model, the CreditGrades approach proposed by Finger (2002) , Stamicar and Finger (2005) , succeeds in explaining the dynamic relation between equity/option variables and Credit Default Swap (CDS) premia at individual company level. We find that CDS model spreads display a significant correlation with CDS market spreads. However, the gap between the two is time varying and widens substantially in times of financial turbulence. The analysis of the gap dynamics reveals that this is partly due to episodes of decoupling between equity and credit markets, and partly due to shortcomings of the model. Finally, we observe that model spreads tend to predict market spreads. 相似文献
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We examine the information content of Australian credit rating announcements by measuring the abnormal changes in credit default swap (CDS) spreads. CDS spreads provide a direct view of credit quality and thus should impound information quickly when investors receive new credit risk related information via a rating event. Using an event study methodology, we show that watch downs and rating upgrades contain valuable information even after controlling for sources of contamination. We find that watch downs elicit statistically significant market reactions, while subsequent downgrades are anticipated. Upgrades are associated with a significant but small abnormal reduction in CDS spreads, whereas watch ups appear to contain no new information. 相似文献
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An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market
Haibin Zhu 《Journal of Financial Services Research》2006,29(3):211-235
This paper compares the pricing of credit risk in the bond market and the fast-growing credit default swap (CDS) market. The
cointegration test confirms that the theoretical parity relationship between the two credit spreads holds as a long-run equilibrium
condition. Nevertheless, substantial deviation from the parity can arise in the short run. The panel data study and the VECM
analysis both suggest that the deviation is largely due to the higher responsiveness of CDS premia to changes in credit conditions.
Moreover, it exhibits a certain degree of persistence in that only 10% of price discrepancies can be removed within a business
day. 相似文献
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We derive an equilibrium asset pricing model incorporating liquidity risk, derivatives, and short‐selling due to hedging of nontraded risk. We show that illiquid assets can have lower expected returns if the short‐sellers have more wealth, lower risk aversion, or shorter horizon. The pricing of liquidity risk is different for derivatives than for positive‐net‐supply assets, and depends on investors' net nontraded risk exposure. We estimate this model for the credit default swap market. We find strong evidence for an expected liquidity premium earned by the credit protection seller. The effect of liquidity risk is significant but economically small. 相似文献
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Antti Suhonen 《European Financial Management》1998,4(3):379-399
This paper presents empirical evidence on the determinants of swap spreads in Finland using four years of data. Spreads exhibit a significant negative relationship with the amount of fixed rate deposits with banks, which reflects the importance of banks in the Finnish capital markets. Spreads are positively linked to business cycle and market risk factors such as the slope of the yield curve and the volatility of interest rates. The influence of hedging costs has become increasingly important over time, especially in longer dated swaps. A relationship is also observed between swap spreads and the external value of the currency. 相似文献
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Sabkha Saker de Peretti Christian Hmaied Dorra 《Review of Quantitative Finance and Accounting》2019,52(1):1-33
Review of Quantitative Finance and Accounting - We test the hypothesis that underwriters set higher gross spreads and deeper offer price discounts in seasoned equity offers of firms exhibiting weak... 相似文献
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Vinodh Madhavan 《Global Finance Journal》2013,24(3):266-279
This paper is aimed at testing for nonlinearity and chaos in Investment Grade CDS indices of US and Europe. For this exercise, the author has chosen the two most liquid indices, namely CDX.NA.IG (US) and iTraxx.Europe (Europe). BDS test (Brock, Dechert, & Scheinkman, 1987) is employed to test for prevalence of nonlinearity in the US and European datasets. The author then subjects both the US and European datasets to the close-returns test (Gilmore, 1993, 1996, 2001) to examine whether the close-returns plots pertaining to these datasets exhibit any chaotic patterns. The CDS datasets were prepared differently for BDS and close-returns test. Since the BDS test cannot differentiate between linear and non-linear dependency, a best-fitting AR model was fitted to the transformed CDS datasets to remove linear-dependency in the data. The BDS test was then applied to the stationary, linearly-independent AR residuals pertaining to transformed US and European datasets. BDS test outcomes revealed rejection of null hypothesis (i.i.d.) with regard to US and European investment-grade CDS indices. The close-returns test outcomes revealed prevalence of an underlying structure that is neither random nor chaotic in nature. In short, the study's findings reveal prevalence of non-chaotic nonlinearity in the US and European CDS indices. These findings not only augment existing literature on nonlinearity of different asset classes, but also reflect the need for researchers and practitioners to accommodate and appropriately account for nonlinearity while modeling CDS indices spread movements. 相似文献
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美国信用违约互换市场动荡的机理与启示 总被引:2,自引:0,他引:2
本文首先阐述信用违约互换运作机理、功能和风险,分析了美国信用违约互换市场动荡的原因;指出信用违约互换与次级抵押贷款证券化的广泛挂购、合成以及投机与监管空白是造成市场动荡的重要原因;最后,在展望未来信用违约互换市场发展动向的基础上提出了中国发展信用违约互换市场的若干建议. 相似文献
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信用违约互换定价机制的缺陷与金融危机的产生 总被引:1,自引:0,他引:1
在分析信用违约互换的定价机制在次贷危机中所暴露的缺陷的基础上,提出同时考虑会计信息和市场信息的综合模型,并加入流动性因素,对模型的有效性进行了实证检验,结果表明:综合会计信息与市场信息的模型比单纯依据某一种信息的模型对信用违约互换的定价因素解释程度更高,且加入流动性因素后模型的解释能力增强. 相似文献
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We analyse the relationship between credit default swap (CDS), bond and stock markets during 2000–2002. Focusing on the intertemporal co‐movement, we examine monthly, weekly and daily lead‐lag relationships in a vector autoregressive model and the adjustment between markets caused by cointegration. First, we find that stock returns lead CDS and bond spread changes. Second, CDS spread changes Granger cause bond spread changes for a higher number of firms than vice versa. Third, the CDS market is more sensitive to the stock market than the bond market and the strength of the co‐movement increases the lower the credit quality and the larger the bond issues. Finally, the CDS market contributes more to price discovery than the bond market and this effect is stronger for US than for European firms. 相似文献
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《新兴市场金融与贸易》2013,49(6):80-98
Credit to the private sector has risen rapidly in European emerging markets, but its risk evaluation has been largely neglected. Using retail-loan banking data from the Czech Republic, we construct two credit risk models based on logistic regression and classification and regression trees. Both methods are comparably efficient and detect similar financial and socioeconomic variables as the key determinants of default behavior. We also construct a model without the most important financial variable (amount of resources), which performs very well. This way, we confirm significance of sociodemographic variables and link our results with specific issues characteristic to new EU members. 相似文献
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Variations over time in mortgage yield spreads should reflect changes in the underlying prepayment option value; moreover, the relationship between mortgage yield spreads and interest rate dynamics should weaken as the value of the borrowers prepayment option declines. We verify this hypothesis through an empirical analysis of residential mortgage yield spread behavior, and we also present evidence that the strength of the relationship between mortgage spreads and interest rate dynamics weakens (strengthens) as the level of default risk increases (decreases). This result is consistent with the competing risks effect between a borrowers option to prepay or default. Our results demonstrate the importance of accounting for mortgage price discount to par as well as default risk when developing time series of mortgage yields. 相似文献
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JEAN‐NOËL BARROT 《The Journal of Finance》2016,71(5):1975-2016
Long payment terms are a strong impediment to the entry and survival of liquidity‐constrained firms. To test this idea and its implications, I consider the effect of a reform restricting the trade credit supply of French trucking firms. In a difference‐in‐differences setting, I find that trucking firms' corporate default probability decreases by 25% following the restriction. The effect is persistent, concentrated among liquidity‐constrained firms, and not offset by a decrease in profits. The restriction also triggers an increase in the entry of small trucking firms. 相似文献
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Szu-Yin Kathy Hung John L. Glascock 《The Journal of Real Estate Finance and Economics》2008,37(1):51-69
This study investigates Real Estate Investment Trusts’ momentum returns in different market states, and explains the momentum
phenomenon with a risk-based dividend growth theory of Johnson (Journal of Finance 57:585–608, 2002). Our results show that
momentum returns of REITs are higher during up markets. This study finds that winners’ dividend/price ratios are higher than
those of losers, and momentum returns are positively correlated with the difference between winners’ and losers’ dividend/price
ratios. We also find that momentum returns are higher after the legislation change of REITs in 1992, and that dividend/price
ratios of REITs are also higher after 1992, suggesting that a persistent shock to REIT’s dividend/price ratios in 1992 partly
explains REITs’ higher momentum returns after 1992. In sum, results of this study suggest that momentum returns of REITs can
be jointly explained by a time-varying factor (market state) and a cross-sectional variance in dividend yields.
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John L. GlascockEmail: |