Journal of Financial and Quantitative Analysis
Công bố khoa học tiêu biểu
Sắp xếp:
Are Credit Default Swaps a Sideshow? Evidence That Information Flows from Equity to CDS Markets Abstract This article provides evidence that equity returns lead credit protection returns at daily and weekly frequencies, whereas credit protection returns do not lead equity returns. Our results indicate that informed traders are primarily active in the equity market rather than the credit default swap (CDS) market. These findings are consistent with standard theories of market selection by informed traders in which market selection is determined partially by transaction costs. We also find that credit protection returns respond more quickly during salient news events (earnings announcements) compared to days with similar equity returns and turnover. This evidence provides support for explanations related to investor inattention.
Journal of Financial and Quantitative Analysis - Tập 50 Số 3 - Trang 543-567 - 2015
Liquidity and Arbitrage in the Market for Credit Risk Abstract The recent credit crisis has highlighted the importance of market liquidity and its interaction with the price of credit risk. We investigate this interaction by relating the liquidity of corporate bonds to the basis between the credit default swap (CDS) spread of the issuer and the par-equivalent bond yield spread. The liquidity of a bond is measured using a recently developed measure called latent liquidity , which is defined as the weighted average turnover of funds holding the bond, where the weights are their fractional holdings of the bond. We find that bonds with higher latent liquidity are more expensive relative to their CDS contracts after controlling for other realized measures of liquidity. Analysis of interaction effects shows that highly illiquid bonds of firms with a greater degree of uncertainty are also expensive, consistent with limits to arbitrage between CDS and bond markets, due to the higher costs of “shorting” illiquid bonds. Additionally, we document the positive effects of liquidity in the CDS market on the CDS-bond basis. We also find that several firm- and bond-level variables related to credit risk affect the basis, indicating that the CDS spread does not fully capture the credit risk of the bond.
Journal of Financial and Quantitative Analysis - Tập 46 Số 3 - Trang 627-656 - 2011
A Note on the Comparison of Logit and Discriminant Models of Consumer Credit Behavior
Journal of Financial and Quantitative Analysis - Tập 15 Số 3 - Trang 757 - 1980
The Impact of Managerial Ownership on Acquisition Attempts and Target Shareholder Wealth
Journal of Financial and Quantitative Analysis - Tập 28 Số 4 - Trang 439 - 1993
Market Manipulation, Bubbles, Corners, and Short Squeezes
Journal of Financial and Quantitative Analysis - Tập 27 Số 3 - Trang 311 - 1992
Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits
Journal of Financial and Quantitative Analysis - Tập 31 Số 3 - Trang 399 - 1996
A New Empirical Perspective on the CAPM
Journal of Financial and Quantitative Analysis - Tập 16 Số 4 - Trang 439 - 1981
Speculative Retail Trading and Asset Prices Abstract This paper examines the characteristics and pricing of stocks that are actively traded by speculative retail investors. We find that stocks with high retail trading proportion (RTP) have strong lottery features and they attract retail investors with strong gambling propensity. Furthermore, these stocks tend to be overpriced and earn significantly negative alpha. The average monthly return differential between the extreme RTP quintiles is −0.60%. This negative RTP premium is stronger among stocks that have lottery features or arelocated in regions where people exhibit stronger gambling propensity. Collectively, these results indicate that speculative retail trading affects stock prices.
Journal of Financial and Quantitative Analysis - Tập 48 Số 2 - Trang 377-404 - 2013
Sophistication, Sentiment, and Misreaction Abstract This study investigates whether the existence or strength of any misreaction in the options market is affected by investor sophistication and investor sentiment. Based on a unique data set of the complete history of all transactions in the Taiwan options market, we find that individual investors exhibit significant misreaction to information and that this misreaction becomes stronger during periods of high investor sentiment. In addition, more active or aggressive individual investors always exhibit misreaction and do not learn from their past mistakes. Our empirical results are robust to alternative measures of investor sentiment and definitions of long- and short-term horizons.
Journal of Financial and Quantitative Analysis - Tập 50 Số 4 - Trang 903-928 - 2015
Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities
Journal of Financial and Quantitative Analysis - Tập 33 Số 4 - Trang 465 - 1998
Tổng số: 16
- 1
- 2