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Citations for "Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements"

by Norden, Lars & Weber, Martin

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  1. Kanagaretnam, Kiridaran & Zhang, Gaiyan & Zhang, Sanjian Bill, 2016. "CDS pricing and accounting disclosures: Evidence from U.S. bank holding corporations around the recent financial crisis," Journal of Financial Stability, Elsevier, vol. 22(C), pages 33-44.
  2. Song, Wei-Ling & Uzmanoglu, Cihan, 2016. "TARP announcement, bank health, and borrowers’ credit risk," Journal of Financial Stability, Elsevier, vol. 22(C), pages 22-32.
  3. Iftekhar Hasan & Liuling Liu & Gaiyan Zhang, 2016. "The Determinants of Global Bank Credit-Default-Swap Spreads," Journal of Financial Services Research, Springer;Western Finance Association, vol. 50(3), pages 275-309, December.
  4. Kirk, Marcus, 2011. "Research for sale: Determinants and consequences of paid-for analyst research," Journal of Financial Economics, Elsevier, vol. 100(1), pages 182-200, April.
  5. Jan Bruha & Moritz Karber & Beatrice Pierluigi & Ralph Setzer, 2017. "Understanding Rating Movements in Euro Area Countries," Working Papers 2017/06, Czech National Bank, Research Department.
  6. Inna Bakalyar & Koresh Galil, 2011. "Rating Shopping and Rating Inflation: Empirical Evidence from Israel," Working Papers 1102, Ben-Gurion University of the Negev, Department of Economics.
  7. Blumenstock, Hendrik & von Grone, Udo & Mehlhorn, Marc & Merkl, Johannes & Pietz, Marcus, 2012. "Einflussfaktoren von CDS-Spreads als Maß für das aktuelle Bonitätsrisiko: Liefert das Rating eine Erklärung?," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-03, University of Bayreuth, Chair of Finance and Banking.
  8. Blum, Ulrich & Gleißner, Werner & Leibbrand, Frank, 2005. "Stochastische Unternehmensmodelle als Kern innovativer Ratingsysteme," IWH Discussion Papers 6/2005, Halle Institute for Economic Research (IWH).
  9. Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2005. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market," Journal of Finance, American Finance Association, vol. 60(5), pages 2213-2253, October.
  10. Ellul, Andrew & Jotikasthira, Chotibhak & Lundblad, Christian T., 2011. "Regulatory pressure and fire sales in the corporate bond market," Journal of Financial Economics, Elsevier, vol. 101(3), pages 596-620, September.
  11. Ammann, Manuel & Blickle, Kristian & Ehmann, Christian, 2015. "Announcement Effects of Contingent Convertible Securities: Evidence from the Global Banking Industry," Working Papers on Finance 1525, University of St. Gallen, School of Finance.
  12. Fischer, Thomas, 2015. "Market structure and rating strategies in credit rating markets – A dynamic model with matching of heterogeneous bond issuers and rating agencies," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 39-56.
  13. José Jorge, 2016. "Sovereign Ratings and Investor Behavior," CEF.UP Working Papers 1601, Universidade do Porto, Faculdade de Economia do Porto.
  14. Giovanni Ferri & Punziana Lacuitignola, 2010. "Does Europe Need Its Own Rating Agencies?," SERIES 0033, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro", revised Jul 2010.
  15. Brechmann, Eike C. & Hendrich, Katharina & Czado, Claudia, 2013. "Conditional copula simulation for systemic risk stress testing," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 722-732.
  16. 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.
  17. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Mensi, Walid & Kumar, Ronald Ravinesh, 2017. "Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 351-363.
  18. Nicolas Dumontaux & Adrian Pop, 2012. "Contagion Effects in the Aftermath of Lehman's Collapse: Measuring the Collateral Damage," Working Papers hal-00695721, HAL.
  19. Pop, Adrian & Pop, Diana, 2009. "Requiem for market discipline and the specter of TBTF in Japanese banking," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(4), pages 1429-1459, November.
  20. Ismailescu, Iuliana & Kazemi, Hossein, 2010. "The reaction of emerging market credit default swap spreads to sovereign credit rating changes," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2861-2873, December.
  21. Gündüz, Yalin & Nasev, Julia & Trapp, Monika, 2012. "The price impact of CDS trading," CFR Working Papers 12-12, University of Cologne, Centre for Financial Research (CFR).
  22. Patrycja Chodnicka-Jaworska, 2016. "Makroekonomiczne czynniki dotyczące not, nastawienia oraz trendów ratingów kredytowych krajów strefy euro," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 41, pages 109-126.
  23. Grothe, Magdalena, 2013. "Market pricing of credit rating signals," Working Paper Series 1623, European Central Bank.
  24. Böninghausen, Benjamin & Zabel, Michael, 2013. "Credit Ratings and Cross-Border Bond Market Spillovers," Discussion Papers in Economics 21075, University of Munich, Department of Economics.
  25. Galil, Koresh & Shapir, Offer Moshe & Amiram, Dan & Ben-Zion, Uri, 2014. "The determinants of CDS spreads," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 271-282.
  26. Vincent Xiang & Michael T. Chng & Victor Fang, 2017. "The economic significance of CDS price discovery," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 1-30, January.
  27. Norden, Lars, 2017. "Information in CDS spreads," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 118-135.
  28. Afonso, António & Gomes, Pedro & Taamouti, Abderrahim, 2014. "Sovereign credit ratings, market volatility, and financial gains," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 20-33.
  29. Nicole Thorne Jenkins & Michael D. Kimbrough & Juan Wang, 2016. "The extent of informational efficiency in the credit default swap market: evidence from post-earnings announcement returns," Review of Quantitative Finance and Accounting, Springer, vol. 46(4), pages 725-761, May.
  30. Abdelkader Boudriga & Dorsaf Azouz Ghachem, 2016. "Does US stock market react differently to rating announcements during crisis period? The case of the 2008 worldwide financial crisis," American Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 4(3/4), pages 193-214.
  31. Norden, Lars & Wagner, Wolf, 2008. "Credit derivatives and loan pricing," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2560-2569, December.
  32. Afonso, António & Furceri, Davide & Gomes, Pedro, 2012. "Sovereign credit ratings and financial markets linkages: Application to European data," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 606-638.
  33. Giovanni Ferri & Andrea Morone, 2014. "The effect of rating agencies on herd behaviour," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 9(1), pages 107-127, April.
  34. Herve Alexandre & François Guillemin & Catherine Refait-Alexandre, 2015. "Disclosure, banks CDS spreads and the European sovereign crisis," Working Papers hal-01376916, HAL.
  35. Demirgüç-Kunt, Asli & Huizinga, Harry, 2013. "Are banks too big to fail or too big to save? International evidence from equity prices and CDS spreads," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 875-894.
  36. Guttler, Andre & Wahrenburg, Mark, 2007. "The adjustment of credit ratings in advance of defaults," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 751-767, March.
  37. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Kumar, Ronald Ravinesh & Mensi, Walid, 2017. "Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 310-324.
  38. Smales, Lee A., 2016. "News sentiment and bank credit risk," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 37-61.
  39. Bertoni, Fabio & Lugo, Stefano, 2014. "The effect of sovereign wealth funds on the credit risk of their portfolio companies," Journal of Corporate Finance, Elsevier, vol. 27(C), pages 21-35.
  40. Böninghausen, Benjamin & Zabel, Michael, 2015. "Credit ratings and cross-border bond market spillovers," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 115-136.
  41. Bannier, Christina E. & Hirsch, Christian, 2009. "The economic function of credit rating agencies: what does the watchlist tell us?," Frankfurt School - Working Paper Series 124, Frankfurt School of Finance and Management.
  42. Hayette Gatfaoui, 2010. "Investigating the dependence structure between credit default swap spreads and the U.S. financial market," Annals of Finance, Springer, vol. 6(4), pages 511-535, October.
  43. Ballester, Laura & González-Urteaga, Ana, 2017. "How credit ratings affect sovereign credit risk: Cross-border evidence in Latin American emerging markets," Emerging Markets Review, Elsevier, vol. 30(C), pages 200-214.
  44. Abad, Pilar & Robles, M. Dolores, 2014. "Credit rating agencies and idiosyncratic risk: Is there a linkage? Evidence from the Spanish Market," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 152-171.
  45. 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.
  46. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Ferrer, Roman & Hammoudeh, Shawkat, 2017. "Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach," Economic Modelling, Elsevier, vol. 60(C), pages 211-230.
  47. Zhang, Gaiyan & Zhang, Sanjian, 2013. "Information efficiency of the U.S. credit default swap market: Evidence from earnings surprises," Journal of Financial Stability, Elsevier, vol. 9(4), pages 720-730.
  48. G. Marandola & R. Mossucca, 2016. "When did the stock market start to react less to downgrades by Moody’s, S&P and Fitch?," Working Papers wp1066, Dipartimento Scienze Economiche, Universita' di Bologna.
  49. Dorsaf Azouz Ghachem & Abdelkader Boudriga & Chokri Mamoghli, 2011. "Does The American Stock Market React Differently to Rating Announcements During A Crisis Period? The Case of the 2008 Worldwide Financial Crisis," Working Papers 601, Economic Research Forum, revised 07 Jan 2011.
  50. Donato Masciandaro, 2013. "Sovereign debt: financial market over-reliance on credit rating agencies," BIS Papers chapters,in: Bank for International Settlements (ed.), Sovereign risk: a world without risk-free assets?, volume 72, pages 50-62 Bank for International Settlements.
  51. Christopher Baum & Chi Wan, 2010. "Macroeconomic uncertainty and credit default swap spreads," Applied Financial Economics, Taylor & Francis Journals, vol. 20(15), pages 1163-1171.
  52. Pourkhanali, Armin & Kim, Jong-Min & Tafakori, Laleh & Fard, Farzad Alavi, 2016. "Measuring systemic risk using vine-copula," Economic Modelling, Elsevier, vol. 53(C), pages 63-74.
  53. Horst Rottmann & Franz Seitz, 2004. "Credit Spreads und ihre Determinanten in Deutschland," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(24), pages 10-14, December.
  54. Ismailescu, Iuliana & Phillips, Blake, 2015. "Credit default swaps and the market for sovereign debt," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 43-61.
  55. Kenjegaliev, Amangeldi & Duygun, Meryem & Mamedshakhova, Djamila, 2016. "Do rating grades convey important information: German evidence?," Economic Modelling, Elsevier, vol. 53(C), pages 334-344.
  56. Böninghausen, Benjamin & Zabel, Michael, 2013. "Credit Ratings and Cross-Border Bond Market Spillovers," MPRA Paper 47390, University Library of Munich, Germany.
  57. repec:eco:journ1:2017-03-24 is not listed on IDEAS
  58. Luitel, Prabesh & Vanpée, Rosanne & De Moor, Lieven, 2016. "Pernicious effects: How the credit rating agencies disadvantage emerging markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 286-298.
  59. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Hammoudeh, Shawkat & Shahbaz, Muhammad, 2017. "Directional and bidirectional causality between U.S. industry credit and stock markets and their determinants," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 46-61.
  60. Alsakka, Rasha & ap Gwilym, Owain, 2012. "Rating agencies' credit signals: An analysis of sovereign watch and outlook," International Review of Financial Analysis, Elsevier, vol. 21(C), pages 45-55.
  61. Drago, Danilo & Gallo, Raffaele, 2017. "The impact of sovereign rating changes on European syndicated loan spreads: The role of the rating-based regulation," Journal of International Money and Finance, Elsevier, vol. 73(PA), pages 213-231.
  62. Galil, Koresh & Soffer, Gil, 2011. "Good news, bad news and rating announcements: An empirical investigation," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3101-3119, November.
  63. 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.
  64. repec:dau:papers:123456789/15008 is not listed on IDEAS
  65. Kim Ristolainen, 2016. "The relationship between distance-to-default and CDS spreads as measures of default risk for European banks," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(5), pages 121-143, June.
  66. Blau, Benjamin M. & Roseman, Brian S., 2014. "The reaction of European credit default swap spreads to the U.S. credit rating downgrade," International Review of Economics & Finance, Elsevier, vol. 34(C), pages 131-141.
  67. Huang, Alex YiHou & Cheng, Chiao-Ming, 2013. "Information risk and credit contagion," Finance Research Letters, Elsevier, vol. 10(3), pages 116-123.
  68. Afik, Zvika & Feinstein, Itai & Galil, Koresh, 2014. "The (un)informative value of credit rating announcements in small markets," Journal of Financial Stability, Elsevier, vol. 14(C), pages 66-80.
  69. Longstaff, Francis A. & Mithal, Sanjay & Neis, Eric, 2004. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market, previously titled: "The Credit-Default Swap Market: Is Credit Protection Priced Correctly?&qu," University of California at Los Angeles, Anderson Graduate School of Management qt8gn7h03k, Anderson Graduate School of Management, UCLA.
  70. Kiesel, Florian & Kolaric, Sascha & Schiereck, Dirk, 2016. "Market integration and efficiency of CDS and equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 209-229.
  71. Sun, Wenbin & Cui, Kexiu, 2014. "Linking corporate social responsibility to firm default risk," European Management Journal, Elsevier, vol. 32(2), pages 275-287.
  72. Imbierowicz, Björn & Wahrenburg, Mark, 2013. "Wealth transfer effects between stockholders and bondholders," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(1), pages 23-43.
  73. Finnerty, John D. & Miller, Cameron D. & Chen, Ren-Raw, 2013. "The impact of credit rating announcements on credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2011-2030.
  74. Asta KlimaviÄ ienÄ—, 2011. "Sovereign Credit Rating Announcements and Baltic Stock Markets," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 2(1).
  75. Jérôme Teïletche & Florent Pochon & Evguenia Iankova, 2009. "L’impact des décisions des agences de notation sur le prix des actions : une comparaison du cas français avec les cas européen et américain," Économie et Prévision, Programme National Persée, vol. 188(2), pages 1-21.
  76. Mayordomo, Sergio & Posch, Peter N., 2016. "Does central clearing benefit risky dealers?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 91-100.
  77. repec:zbw:rwirep:0243 is not listed on IDEAS
  78. Dumontaux, Nicolas & Pop, Adrian, 2013. "Understanding the market reaction to shockwaves: Evidence from the failure of Lehman Brothers," Journal of Financial Stability, Elsevier, vol. 9(3), pages 269-286.
  79. Wengner, Andreas & Burghof, Hans-Peter & Schneider, Johannes, 2015. "The impact of credit rating announcements on corporate CDS markets—Are intra-industry effects observable?," Journal of Economics and Business, Elsevier, vol. 78(C), pages 79-91.
  80. Drago, Danilo & Gallo, Raffaele, 2016. "The impact and the spillover effect of a sovereign rating announcement on the euro area CDS market," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 264-286.
  81. repec:eee:jebusi:v:92:y:2017:i:c:p:1-9 is not listed on IDEAS
  82. Marcin Wojtowicz, 2014. "The Determinants of CDS Bid-ask Spreads," Tinbergen Institute Discussion Papers 14-138/IV/ DSF82, Tinbergen Institute.
  83. Ivanov, Ivan T. & Santos, Joao A. C. & Vo, Thu, 2014. "Tying loan interest rates to borrowers' CDS spreads," Finance and Economics Discussion Series 2014-70, Board of Governors of the Federal Reserve System (U.S.).
  84. repec:eee:jbfina:v:85:y:2017:i:c:p:99-112 is not listed on IDEAS
  85. Liebmann, Michael & Orlov, Alexei G. & Neumann, Dirk, 2016. "The tone of financial news and the perceptions of stock and CDS traders," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 159-175.
  86. Williams, Gwion & Alsakka, Rasha & ap Gwilym, Owain, 2013. "The impact of sovereign rating actions on bank ratings in emerging markets," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 563-577.
  87. Ansgar Belke & Christian Gokus, 2011. "Volatility Patterns of CDS, Bond and Stock Markets before and during the Financial Crisis: Evidence from Major Financial Institutions," Discussion Papers of DIW Berlin 1107, DIW Berlin, German Institute for Economic Research.
  88. repec:eee:jbfina:v:85:y:2017:i:c:p:41-55 is not listed on IDEAS
  89. repec:eee:ememar:v:32:y:2017:i:c:p:38-51 is not listed on IDEAS
  90. Pilar Abad Romero & Maria Dolores Robles Fernández, 2014. "The Risk-Return binomial after rating changes," Documentos de Trabajo del ICAE 2014-23, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  91. Tsai, Feng-Tse & Lu, Hsin-Min & Hung, Mao-Wei, 2016. "The impact of news articles and corporate disclosure on credit risk valuation," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 100-116.
  92. Nathalie Rey, 2007. "Les dérivés de crédit : instruments de couverture et facteurs d'instabilité. L'exemple des « Credit Default Swap »," Post-Print halshs-00195901, HAL.
  93. Ekaterina Neretina & Cenkhan Sahin & Jakob de Haan, 2014. "Banking stress test effects on returns and risks," DNB Working Papers 419, Netherlands Central Bank, Research Department.
  94. Ashcraft, Adam B. & Santos, João A.C., 2009. "Has the CDS market lowered the cost of corporate debt?," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 514-523, May.
  95. Steinar Holden & Gisle James Natvik & Adrien Vigier, 2012. "An equilibrium model of credit rating agencies," Working Paper 2012/23, Norges Bank.
  96. Jorion, Philippe & Zhang, Gaiyan, 2007. "Good and bad credit contagion: Evidence from credit default swaps," Journal of Financial Economics, Elsevier, vol. 84(3), pages 860-883, June.
  97. Ghosh, Atish R. & Ostry, Jonathan D. & Qureshi, Mahvash S., 2013. "Fiscal space and sovereign risk pricing in a currency union," Journal of International Money and Finance, Elsevier, vol. 34(C), pages 131-163.
  98. May, Anthony D., 2010. "The impact of bond rating changes on corporate bond prices: New evidence from the over-the-counter market," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2822-2836, November.
  99. repec:wyi:journl:002109 is not listed on IDEAS
  100. Yang, Hsin-Feng & Liu, Chih-Liang & Chou, Ray Yeutien, 2014. "Interest rate risk propagation: Evidence from the credit crunch," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 242-264.
  101. Bastidon, Cécile & Gilles, Philippe & Huchet, Nicolas, 2008. "The international lender of last resort and selective bail-out," Emerging Markets Review, Elsevier, vol. 9(2), pages 144-152, June.
  102. Gehde-Trapp, Monika & Gündüz, Yalin & Nasev, Julia, 2015. "The liquidity premium in CDS transaction prices: Do frictions matter?," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 184-205.
  103. Lahiani, Amine & Hammoudeh, Shawkat & Gupta, Rangan, 2016. "Linkages between financial sector CDS spreads and macroeconomic influence in a nonlinear setting," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 443-456.
  104. Morkötter, Stefan & Westerfeld, Simone, 2009. "Rating model arbitrage in CDO markets: An empirical analysis," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 21-33, March.
  105. Liu, Liuling & Zhang, Gaiyan & Fang, Yiwei, 2016. "Bank credit default swaps and deposit insurance around the world," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 339-363.
  106. Altdörfer, Marc & de las Salas Vega, Carlos A. & Guettler, Andre & Löffler, Gunter, 2016. "European versus Anglo-Saxon credit view: Evidence from the eurozone sovereign debt crisis," IWH Discussion Papers 34/2016, Halle Institute for Economic Research (IWH).
  107. Loffler, Gunter, 2004. "Ratings versus market-based measures of default risk in portfolio governance," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2715-2746, November.
  108. Tran, Vu & Alsakka, Rasha & ap Gwilym, Owain, 2014. "Sovereign rating actions and the implied volatility of stock index options," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 101-113.
  109. Alter, Adrian & Schüler, Yves S., 2012. "Credit spread interdependencies of European states and banks during the financial crisis," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3444-3468.
  110. Chen, Li-Hsueh & Hammoudeh, Shawkat & Yuan, Yuan, 2011. "Asymmetric convergence in US financial credit default swap sector index markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 408-418.
  111. Pilar Abad & Antonio Díaz & M. Dolores Robles-Fernández, 2012. "Credit rating announcements, trading activity and yield spreads: the Spanish evidence," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 5(1), pages 38-63.
  112. Ferri, Giovanni & Lacitignola, Punziana & Lee, Jeong Yeon, 2013. "Foreign ownership and the credibility of national rating agencies: Evidence from Korea," Journal of Comparative Economics, Elsevier, vol. 41(3), pages 762-776.
  113. Hu, Haoshen & Kaspereit, Thomas & Prokop, Jörg, 2016. "The information content of issuer rating changes: Evidence for the G7 stock markets," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 99-108.
  114. Aktug, R. Erdem & Nayar, Nandkumar (Nandu) & Vasconcellos, Geraldo M., 2013. "Is sovereign risk related to the banking sector?," Global Finance Journal, Elsevier, vol. 24(3), pages 222-249.
  115. Ngene, Geoffrey M. & Kabir Hassan, M. & Alam, Nafis, 2014. "Price discovery process in the emerging sovereign CDS and equity markets," Emerging Markets Review, Elsevier, vol. 21(C), pages 117-132.
  116. Louis RAFFESTIN, 2016. "Do bond credit ratings lead to excess comovement," LEO Working Papers / DR LEO 2481, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  117. Pierluigi, Beatrice & Brůha, Jan & Setzer, Ralph & Karber, Moritz, 2017. "Understanding sovereign rating movements in euro area countries," Working Paper Series 2011, European Central Bank.
  118. Bannier, Christina E. & Hirsch, Christian W., 2010. "The economic function of credit rating agencies - What does the watchlist tell us?," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 3037-3049, December.
  119. Ansgar Belke & Christian Gokus, 2011. "Volatility Patterns of CDS, Bond and Stock Markets Before and During the Financial Crisis – Evidence from Major Financial Institutions," Ruhr Economic Papers 0243, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  120. Francois Lantin, 2008. "L'importance de la note initiale et du type de changement dans la mesure de l'impact de la notation financière (rating) sur le marché actions," Post-Print halshs-00692578, HAL.
  121. Caitlin Ann Greatrex, 2008. "The Credit Default Swap Market's Reaction to Earnings Announcements," Fordham Economics Discussion Paper Series dp2008-06, Fordham University, Department of Economics.
  122. Benbouzid, Nadia & Mallick, Sushanta, 2013. "Determinants of bank credit default swap spreads: The role of the housing sector," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 243-259.
  123. Pelster, Matthias & Vilsmeier, Johannes, 2016. "The determinants of CDS spreads: Evidence from the model space," Discussion Papers 43/2016, Deutsche Bundesbank, Research Centre.
  124. Kiesel, Florian, 2016. "The effect of credit and rating events on credit default swap and equity markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 81265, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  125. Schaetzle, Dominik, 2011. "Ratingagenturen in der neoklassischen Finanzierungstheorie: Eine Auswertung empirischer Studien zum Informationsgehalt von Ratings," Arbeitspapiere 110, University of Münster, Institute for Cooperatives.
  126. Antonio Cesare, 2006. "Do Market-based Indicators Anticipate Rating Agencies? Evidence for International Banks," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 35(1), pages 121-150, February.
  127. Wu, Po-Chin & Liu, Shiao-Yen & Chen, Che-Ying, 2016. "Re-examining risk premiums in the Fama–French model: The role of investor sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 154-171.
  128. Antonio Di Cesare & Giovanni Guazzarotti, 2010. "An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil," Temi di discussione (Economic working papers) 749, Bank of Italy, Economic Research and International Relations Area.
  129. Paul A. Griffin & Hyun A. Hong & Jeong-Bon Kim, 2016. "Price discovery in the CDS market: the informational role of equity short interest," Review of Accounting Studies, Springer, vol. 21(4), pages 1116-1148, December.
  130. Rosella Castellano & Luisa Scaccia, 2014. "Can CDS indexes signal future turmoils in the stock market? A Markov switching perspective," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 285-305, June.
  131. Dumontaux, N. & Pop, A., 2013. "Contagion Effects in the Aftermath of Lehman’s Collapse: Evidence from the US Financial Services Industry," Working papers 427, Banque de France.
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