Essays on the information role of credit default swaps

Chapter 1: Credit Default Swaps Pricing Errors and Related Stock Returns This article investigates the impacts of Credit Default Swaps (CDS) pricing errors on related stock returns. Using a parsimonious CDS valuation model, which produces an above average adjusted R2 of 90%, I find that its pricing...

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Bibliographic Details
Main Author: CHENG, Hao
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2018
Subjects:
Online Access:https://ink.library.smu.edu.sg/etd_coll/190
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1190&context=etd_coll
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Institution: Singapore Management University
Language: English