The Impact of Earnings on the Pricing of Credit Default Swaps

The Impact of Earnings on the Pricing of Credit Default Swaps

This study evaluates the impact of earnings on credit risk in the Credit Default Swap (CDS) market using levels, changes, and event study analyses. We find that earnings (cash flows, accruals) of reference firms are negatively and significantly correlated with the level of CDS premia, consistent wit...

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書目詳細資料
Main Authors:	SEGAL, Dan, Callen, Jeffrey L., Livnat, Joshua
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2009
主題:	Accounting Corporate Finance
在線閱讀:	https://ink.library.smu.edu.sg/soa_research/802 https://ink.library.smu.edu.sg/context/soa_research/article/1801/viewcontent/SSRN_id949322.pdf
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