دانلود مقاله ISI انگلیسی شماره 48532
عنوان فارسی مقاله

تاثیر اطلاعیه های رتبه بندی اعتباری بر روی اسپرد مبادله پیش فرض های اعتباری

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
48532 2011 20 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
The impact of credit rating announcements on credit default swap spreads
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Banking & Finance, Volume 37, Issue 6, June 2013, Pages 2011–2030

کلمات کلیدی
مطالعه رویداد - امتیاز - چشم انداز -
پیش نمایش مقاله
پیش نمایش مقاله تاثیر اطلاعیه های رتبه بندی اعتباری بر روی اسپرد مبادله پیش فرض های اعتباری

چکیده انگلیسی

We document the ability of the credit default swap (CDS) market to anticipate favorable as well as unfavorable credit rating change (RC) announcements based on more extensive samples of credit rating events and CDS spreads than previous studies. We obtain four new results. In contrast to prior published studies, we find that corporate RC upgrades do have a significant impact on CDS spreads even though they are still not as well anticipated as downgrades. Second, CreditWatch (CW) and Outlook (OL) announcements, after controlling for prior credit rating events, lead to significant CARs at the time positive CW and OL credit rating events are announced. Third, we extend prior results by showing that changes in CDS spreads for non-investment-grade credits contain information useful for estimating the probability of negative credit rating events. Fourth, we find that the CDS spread impact of upgrades but not downgrades is magnified during recessions and that upgrades and downgrades also differ as to the impact of simultaneous CW/OL announcements, investment-grade/speculative-grade crossovers, current credit rating, market volatility, and industry effects.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.