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The Direct Relevance of Accounting Information for Credit Default Swap Pricing

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  • George Batta

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  • George Batta, 2011. "The Direct Relevance of Accounting Information for Credit Default Swap Pricing," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 38(9-10), pages 1096-1122, November.
  • Handle: RePEc:bla:jbfnac:v:38:y:2011:i:9-10:p:1096-1122 DOI: j.1468-5957.2011.02264.x
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    References listed on IDEAS

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    1. Ivo Welch & Amit Goyal, 2008. "A Comprehensive Look at The Empirical Performance of Equity Premium Prediction," Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1455-1508, July.
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    5. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, May.
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    13. Peñaranda, Francisco & Sentana, Enrique, 2016. "Duality in mean-variance frontiers with conditioning information," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 762-785.
    14. Solnik, Bruno, 1993. "The performance of international asset allocation strategies using conditioning information," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 33-55, June.
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    16. Avramov, Doron & Chordia, Tarun, 2006. "Predicting stock returns," Journal of Financial Economics, Elsevier, vol. 82(2), pages 387-415, November.
    17. Lesmond, David A. & Schill, Michael J. & Zhou, Chunsheng, 2004. "The illusory nature of momentum profits," Journal of Financial Economics, Elsevier, vol. 71(2), pages 349-380, February.
    18. Peñaranda, Francisco & Sentana, Enrique, 2016. "Duality in mean-variance frontiers with conditioning information," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 762-785.
    19. Hodrick, Robert J. & Zhang, Xiaoyan, 2001. "Evaluating the specification errors of asset pricing models," Journal of Financial Economics, Elsevier, vol. 62(2), pages 327-376, November.
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    Cited by:

    1. Samaniego-Medina, Reyes & Trujillo-Ponce, Antonio & Parrado-Martínez, Purificación & di Pietro, Filippo, 2016. "Determinants of bank CDS spreads in Europe," Journal of Economics and Business, Elsevier, vol. 86(C), pages 1-15.
    2. Serafeim Tsoukas & Marina-Eliza Spaliara, 2014. "Market Implied Ratings and Financing Constraints: Evidence from US Firms," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(1-2), pages 242-269, January.
    3. Dan Givoly & Carla Hayn & Sharon Katz, 2017. "The changing relevance of accounting information to debt holders over time," Review of Accounting Studies, Springer, vol. 22(1), pages 64-108, March.
    4. Demirovic, Amer & Tucker, Jon & Guermat, Cherif, 2015. "Accounting data and the credit spread: An empirical investigation," Research in International Business and Finance, Elsevier, vol. 34(C), pages 233-250.
    5. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.

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