Internet Searches, Household Sentiment and Credit Spreads
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Zhi Da & Joseph Engelberg & Pengjie Gao, 2015. "Editor's Choice The Sum of All FEARS Investor Sentiment and Asset Prices," Review of Financial Studies, Society for Financial Studies, vol. 28(1), pages 1-32.
- Ericsson, Jan & Jacobs, Kris & Oviedo, Rodolfo, 2009.
"The Determinants of Credit Default Swap Premia,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(1), pages 109-132, February.
- Ericsson, Jan & Jacobs, Kris & Oviedo-Helfenberger, Rodolfo, 2004. "The Determinants of Credit Default Swap Premia," SIFR Research Report Series 32, Institute for Financial Research.
- Jan Ericsson & Kris Jacobs & Rodolfo A. Oviedo, 2004. "The Determinants of Credit Default Swap Premia," CIRANO Working Papers 2004s-55, CIRANO.
- Jeehye Lee & Sol Kim & Yuen Jung Park, 2017. "Investor Sentiment and Credit Default Swap Spreads During the Global Financial Crisis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(7), pages 660-688, July.
- Zhi Da & Joseph Engelberg & Pengjie Gao, 2011. "In Search of Attention," Journal of Finance, American Finance Association, vol. 66(5), pages 1461-1499, October.
- Merton, Robert C, 1974.
"On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,"
Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
- Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Benjamin Yibin Zhang & Hao Zhou & Haibin Zhu, 2009.
"Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms,"
Review of Financial Studies, Society for Financial Studies, vol. 22(12), pages 5099-5131, December.
- Benjamin Y. Zhang & Hao Zhou & Haibin Zhu, 2005. "Explaining credit default swap spreads with the equity volatility and jump risks of individual firms," Finance and Economics Discussion Series 2005-63, Board of Governors of the Federal Reserve System (U.S.).
- Haibin Zhu & Benjamin Yibin Zhang & Hao Zhou, 2005. "Explaining credit default swap spreads with equity volatility and jump risks of individual firms," BIS Working Papers 181, Bank for International Settlements.
- Tang, Dragon Yongjun & Yan, Hong, 2010.
"Market conditions, default risk and credit spreads,"
Journal of Banking & Finance, Elsevier, vol. 34(4), pages 743-753, April.
- Tang, Dragon Yongjun & Yan, Hong, 2008. "Market conditions, default risk and credit spreads," Discussion Paper Series 2: Banking and Financial Studies 2008,08, Deutsche Bundesbank.
- Pierre Collin-Dufresn & Robert S. Goldstein & J. Spencer Martin, 2001. "The Determinants of Credit Spread Changes," Journal of Finance, American Finance Association, vol. 56(6), pages 2177-2207, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Tang, Dragon Yongjun & Yan, Hong, 2017. "Understanding transactions prices in the credit default swaps market," Journal of Financial Markets, Elsevier, vol. 32(C), pages 1-27.
- Kalimipalli, Madhu & Nayak, Subhankar & Perez, M. Fabricio, 2013. "Dynamic effects of idiosyncratic volatility and liquidity on corporate bond spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2969-2990.
- Pu, Xiaoling & Zhao, Xinlei, 2012. "Correlation in credit risk changes," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1093-1106.
- Ann Marie Hibbert & Ivelina Pavlova & Joel Barber & Krishnan Dandapani, 2011. "Credit Spread Changes and Equity Volatility: Evidence from Daily Data," The Financial Review, Eastern Finance Association, vol. 46(3), pages 357-383, August.
- Irresberger, Felix & Weiß, Gregor N.F. & Gabrysch, Janet & Gabrysch, Sandra, 2018. "Liquidity tail risk and credit default swap spreads," European Journal of Operational Research, Elsevier, vol. 269(3), pages 1137-1153.
- Antonio Trujillo-Ponce & Reyes Samaniego-Medina & Clara Cardone-Riportella, 2014.
"Examining what best explains corporate credit risk: accounting-based versus market-based models,"
Journal of Business Economics and Management, Taylor & Francis Journals, vol. 15(2), pages 253-276, April.
- Antonio Trujillo-Ponce & Reyes Samaniego-Medina & Clara Cardone-Riportella, 2012. "Examining what best explains corporate credit risk: accounting-based versus market-based models," Working Papers 12.03, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).
- Julian S. Leppin & Stefan Reitz, 2016.
"The Role of a Changing Market Environment for Credit Default Swap Pricing,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(3), pages 209-223, July.
- Leppin, Julian S. & Reitz, Stefan, 2014. "The role of a changing market environment for credit default swap pricing," Kiel Working Papers 1946, Kiel Institute for the World Economy (IfW).
- Leppin, Julian S. & Reitz, Stefan, 2014. "The role of a changing market: Environment for credit default swap pricing," HWWI Research Papers 153, Hamburg Institute of International Economics (HWWI).
- Leppin, Julia S. & Reitz, Stefan, 2014. "The Role of a Changing Market Environment for Credit Default Swap Pricing," FinMaP-Working Papers 7, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Koutmos, Dimitrios, 2019. "Asset pricing factors and bank CDS spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 19-41.
- Nan Hu & Ling Liu & Lu Zhu, 2018. "Credit default swap spreads and annual report readability," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 591-621, February.
- Roshanthi Dias, 2017. "The role of managerial risk-taking in the ‘rise and fall’ of the CDS market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57, pages 117-145, April.
- repec:pab:wpbsad:12.07 is not listed on IDEAS
- Lee, Hwang Hee & Hyun, Jung-Soon, 2019. "The asymmetric effect of equity volatility on credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 125-136.
- Wisniewski, Tomasz Piotr & Lambe, Brendan John, 2015. "Does economic policy uncertainty drive CDS spreads?," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 447-458.
- Wang, Hao & Zhou, Hao & Zhou, Yi, 2013. "Credit default swap spreads and variance risk premia," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3733-3746.
- Qing Bai & Lu Zhu, 2018. "The Effects of Industry Specific and Local Economic Factors on Credit Default Swap Spreads: Evidence from REITs," Journal of Financial Services Research, Springer;Western Finance Association, vol. 54(3), pages 293-321, December.
- Annaert, Jan & De Ceuster, Marc & Van Roy, Patrick & Vespro, Cristina, 2013.
"What determines Euro area bank CDS spreads?,"
Journal of International Money and Finance, Elsevier, vol. 32(C), pages 444-461.
- Jan Annaert & Marc De Ceuster & Patrick Van Roy & Cristina Vespro, 2009. "What determines euro area bank CDS spreads ?," Financial Stability Review, National Bank of Belgium, vol. 7(1), pages 153-169, June.
- Jan Annaert & Marc De Ceuster & Patrick Van Roy & Cristina Vespro, 2010. "What determines euro area bank CDS spreads ?," Working Paper Research 190, National Bank of Belgium.
- Kalimipalli, Madhu & Nayak, Subhankar, 2012. "Idiosyncratic volatility vs. liquidity? Evidence from the US corporate bond market," Journal of Financial Intermediation, Elsevier, vol. 21(2), pages 217-242.
- Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadori, 2011.
"The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps,"
LSF Research Working Paper Series
11-13, Luxembourg School of Finance, University of Luxembourg.
- Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadari, 2011. "The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps," LSF Research Working Paper Series 11-04, Luxembourg School of Finance, University of Luxembourg.
- Avino, Davide & Nneji, Ogonna, 2014.
"Are CDS spreads predictable? An analysis of linear and non-linear forecasting models,"
International Review of Financial Analysis, Elsevier, vol. 34(C), pages 262-274.
- Avino, Davide & Nneji, Ogonna, 2012. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," MPRA Paper 42848, University Library of Munich, Germany.
- Da Fonseca, José & Ignatieva, Katja & Ziveyi, Jonathan, 2016. "Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market," Energy Economics, Elsevier, vol. 56(C), pages 215-228.
- Thuy Thi Thu Truong & Jungmu Kim, 2019. "Do Corporate Social Responsibility Activities Reduce Credit Risk? Short and Long-Term Perspectives," Sustainability, MDPI, Open Access Journal, vol. 11(24), pages 1-1, December.
More about this item
Keywords
sentiment; Google; internet search; households; CDS; spread; distance to default;JEL classification:
- C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G50 - Financial Economics - - Household Finance - - - General
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hhs:lunewp:2019_015. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (David Edgerton). General contact details of provider: http://edirc.repec.org/data/delunse.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.