Abstract

http://ssrn.com/abstract=1874127
 
 

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Accounting Information Releases and CDS Spreads


Redouane Elkamhi


University of Iowa - Henry B. Tippie College of Business

Kris Jacobs


University of Houston - C.T. Bauer College of Business

Hugues Langlois


HEC Paris

Chayawat Ornthanalai


University of Toronto - Rotman School of Management

January 19, 2012

Midwest Finance Association 2012 Annual Meetings Paper

Abstract:     
We show that accounting information releases generate large and immediate price impacts, i.e. jumps, in credit default swap (CDS) spreads. Our approach is multivariate, which allows for identification of information events under the presence of confounding news, such as credit events and other simultaneous news arrivals. The economic impact of accounting news releases is twice as large as the impact of credit-related news. Good and bad news impact jumps in CDS spreads asymmetrically, and unscheduled announcements are more likely to cause jumps than scheduled ones. The arrival of accounting information is quickly absorbed in CDS spreads, suggesting efficient price discovery in the CDS market.

Number of Pages in PDF File: 48

Keywords: Accounting information; CDS; jumps; market integration

JEL Classification: G10; G29

working papers series


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Date posted: June 29, 2011 ; Last revised: March 17, 2012

Suggested Citation

Elkamhi, Redouane and Jacobs, Kris and Langlois, Hugues and Ornthanalai, Chayawat, Accounting Information Releases and CDS Spreads (January 19, 2012). Midwest Finance Association 2012 Annual Meetings Paper. Available at SSRN: http://ssrn.com/abstract=1874127 or http://dx.doi.org/10.2139/ssrn.1874127

Contact Information

Redouane Elkamhi
University of Iowa - Henry B. Tippie College of Business ( email )
108 Pappajohn Business Building
Iowa City, IA 52242-1000
United States
Kris Jacobs
University of Houston - C.T. Bauer College of Business ( email )
Houston, TX 77204-6021
United States
Hugues Langlois
HEC Paris ( email )
1, rue de la Liberation
Jouy-en-Josas, 78351
France
686-583-2092 (Phone)
HOME PAGE: http://hugueslanglois.com
Chayawat Ornthanalai (Contact Author)
University of Toronto - Rotman School of Management ( email )
105 St. George Street
Toronto, Ontario M5S 3E6
Canada

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