Information content in CDS spreads for equity returns

•We explore the predictability of equity returns using information from credit protection returns.•Equity returns can predict credit protection returns up to 5 days, especially for non-investment firms in turmoil market.•Credit protection returns are more sensitive to lagged equity returns if credit...

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Bibliographic details
Volume: 30
Main Author: Wang, Peipei
Bhar, Ramaprasad
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: AMSTERDAM Elsevier B.V 01.05.2014
ELSEVIER
published in: Journal of international financial markets, institutions & money Vol. 30; pp. 55 - 80
Data of publication: May 2014
ISSN: 1042-4431
1873-0612
EISSN: 1873-0612
Discipline: Business
Economics
Subjects:
G12
Online Access: available in Bonn?
Database: Web of Knowledge
Social Sciences Citation Index
Web of Science
Web of Science - Social Sciences Citation Index - 2014
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Academic OneFile (A&I only)
Database information Databases - DBIS