Credit derivatives and analyst behavior
Batta, George Eli
Credit derivatives and analyst behavior / George Eli Batta, Jianping Qiu, Fan Yu . -- Páginas 1315 a la 1343
Reseña : This paper presents a comprehensive analysis of the role of credit default swaps (CDS) in information production surrounding earnings announcements. First, we demonstrate that the strength of CDS price discovery prior to earnings announcements is related to the presence of private information and the illiquidity of the underlying corporate bonds, consistent with the CDS market being a preferred venue for informed trading. Next, we ask how the information revealed through CDS trading influences the output of equity and credit rating analysts. We find that post-CDS trading, the dispersion and error of earnings-per-share forecasts are generally reduced, and downgrades by both types of analysts become more frequent and more timely before large negative earnings surprises, suggesting that the CDS market conveys information valuable to financial analysts..
Créditos--Publicaciones seriadas
Swaps (Finanzas)--Publicaciones seriadas
Pronóstico de la economía--Publicaciones seriadas
Contabilidad--Publicaciones seriadas
Qiu, Jiaping ; Yu, Fan ;
Credit derivatives and analyst behavior / George Eli Batta, Jianping Qiu, Fan Yu . -- Páginas 1315 a la 1343
Reseña : This paper presents a comprehensive analysis of the role of credit default swaps (CDS) in information production surrounding earnings announcements. First, we demonstrate that the strength of CDS price discovery prior to earnings announcements is related to the presence of private information and the illiquidity of the underlying corporate bonds, consistent with the CDS market being a preferred venue for informed trading. Next, we ask how the information revealed through CDS trading influences the output of equity and credit rating analysts. We find that post-CDS trading, the dispersion and error of earnings-per-share forecasts are generally reduced, and downgrades by both types of analysts become more frequent and more timely before large negative earnings surprises, suggesting that the CDS market conveys information valuable to financial analysts..
Créditos--Publicaciones seriadas
Swaps (Finanzas)--Publicaciones seriadas
Pronóstico de la economía--Publicaciones seriadas
Contabilidad--Publicaciones seriadas
Qiu, Jiaping ; Yu, Fan ;