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Financial news and CDS spreads

journal contribution
posted on 2021-03-01, 00:00 authored by Paresh Narayan, D Bannigidadmath
This paper examines whether financial news moves CDS spreads for a large number of U.S. stocks sorted into 19 panels consisting of sectors, sizes and credit quality. Using a unique financial news data set, we discover that while both positive and negative news predicts CDS spread changes in most of the panels, annualised mean–variance profits and utility gains are dominated by forecasting models that use positive news as a predictor. At best, risk factors only account for around 31% of observed profits.

History

Journal

Journal of Behavioral and Experimental Finance

Volume

29

Article number

100448

Publisher

Elsevier BV

Location

Amsterdam, Netherlands

ISSN

2214-6350

eISSN

2214-6369

Language

eng

Publication classification

C1 Refereed article in a scholarly journal; C Journal article

Copyright notice

2020, Elsevier B.V.