The Impact of Earnings on the Pricing of Credit Default Swaps

• المؤلفون الرئيسيون: SEGAL, Dan, Callen, Jeffrey L., Livnat, Joshua
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2009
• الموضوعات: Accounting; Corporate Finance
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soa_research/802; https://ink.library.smu.edu.sg/context/soa_research/article/1801/viewcontent/SSRN_id949322.pdf

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...