Insider trading in credit derivatives |
| |
Authors: | Viral V. Acharya Timothy C. Johnson |
| |
Affiliation: | London Business School, Regent''s Park, London NW1 4SA, UK |
| |
Abstract: | Insider trading in the credit derivatives market has become a significant concern for regulators and participants. This paper attempts to quantify the problem. Using news reflected in the stock market as a benchmark for public information, we find significant incremental information revelation in the credit default swap market under circumstances consistent with the use of non-public information by informed banks. The information revelation occurs only for negative credit news and for entities that subsequently experience adverse shocks, and increases with the number of a firm's relationship banks. We find no evidence, however, that the degree of asymmetric information adversely affects prices or liquidity in either the equity or credit markets. |
| |
Keywords: | G12 G13 G14 G20 D8 |
本文献已被 ScienceDirect 等数据库收录! |
|