Credit Markets and Financial Information

23 Pages Posted: 23 Feb 2011

See all articles by Scott A. Richardson

Scott A. Richardson

AQR Capital Management, LLC; London Business School

Stephen Lok

BlackRock, Inc - San Francisco

Date Written: January 20, 2011


The last decade has seen rapid growth in trading of credit instruments on secondary markets. The ensuing availability of a rich set of credit market data has created a novel environment for testing a variety of financial economic theories. In this discussion, we provide a simple framework for linking asset pricing research using equity and credit market data, and offer some suggestions for future archival empirical research aiming to establish relations between financial information and credit markets. Credit instruments are intrinsically linked to equity instruments. The strength of this link varies temporally and cross-sectionally in measurable ways that can, and should be, used to guide future empirical research linking information to credit markets.

Keywords: Information, Credit Markets, Capital Structure, CDS, Bonds

JEL Classification: G12, G14, M41

Suggested Citation

Richardson, Scott Anthony and Lok, Stephen, Credit Markets and Financial Information (January 20, 2011). Available at SSRN: or

Scott Anthony Richardson (Contact Author)

AQR Capital Management, LLC ( email )

Greenwich, CT
United States

London Business School ( email )

Sussex Place
Regent's Park
London, London NW1 4SA
United Kingdom

Stephen Lok

BlackRock, Inc - San Francisco ( email )

400 Howard Street
San Francisco, CA 94105
United States

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