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File name: SSRN-id2023759. ; Size: 356K
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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
McGill University - Desautels Faculty of Management
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 CitationElkamhi, Redouane, Jacobs, Kris, 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
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