Economic and Market Factors versus Credit Rating Announcements, on Credit Default Swap Spreads
نویسندگان
چکیده
منابع مشابه
On the Relationship between Credit Rating Announcements and Credit Default Swap Spreads for European Reference Entities
Previous research suggests that credit rating announcements by Moody’s are anticipated by participants in the credit default swap market. In particular, it is argued that downgrades and negative outlook reports do not contain significant information, but there seems to be anticipation of both types of ratings announcements. In this paper, we examine credit default swap spread changes conditiona...
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ژورنال
عنوان ژورنال: International Journal of Economics and Finance
سال: 2011
ISSN: 1916-9728,1916-971X
DOI: 10.5539/ijef.v3n5p42