Credit derivatives and stock return synchronicity

• Main Authors: BAI, Xuelian, HU, Nan, LIU, Ling, ZHU, Lu
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2017
• Subjects: Credit default swaps; Firm-specific information; Stock return synchronicity; Informativeness; Databases and Information Systems; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/sis_research/8049
• Institution: Singapore Management University

The role of credit default swaps (CDS) in the 2008 financial crisis has been widely debated among regulators, investors, and researchers. While CDS were blamed for destabilizing the financial system, they remain effective tools for hedging credit risk, especially for major banks, and produce positiv...