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Reaction of the credit default swap market to the release of periodic financial reports

journal contribution
posted on 2019-10-01, 00:00 authored by M A Nasiri, Paresh Narayan, Sagarika MishraSagarika Mishra
This paper studies the reaction of the CDS market to the release of periodic financial reports. The results show that periodic financial reports contain valuable information for the CDS market. This finding supports the value relevance of accounting information for the CDS market. We also find that the reaction of the CDS market to the information content of periodic financial reports is with delay. This implies that the limited attention phenomenon characterizes the CDS market.

History

Journal

International review of financial analysis

Volume

65

Article number

101383

Pagination

1 - 12

Publisher

Elsevier

Location

Amsterdam, The Netherlands

ISSN

1057-5219

Language

eng

Publication classification

C1 Refereed article in a scholarly journal; C Journal article

Copyright notice

2019, Elsevier Inc.