Default risk transmission in the travel and leisure industry
Default risk in the Travel and Leisure (T&L) industry remains understudied despite its
implications for the industry's health and stability. This paper investigates the transmission of …
implications for the industry's health and stability. This paper investigates the transmission of …
Transmission process and determinants of sovereign credit contagions: Global evidence
CC Chen, CD Chen, D Lien - International Review of Economics & Finance, 2024 - Elsevier
This research utilizes an event study to analyze the contagion patterns of sovereign credit
ratings among global stock markets. Unlike other extant literature with limited samples, this …
ratings among global stock markets. Unlike other extant literature with limited samples, this …
Network topology of dynamic credit default swap curves of energy firms and the role of oil shocks
E Bouri, SJH Shahzad - The Energy Journal, 2022 - journals.sagepub.com
Using network analysis on the connectedness of default factors in a credit default swap
(CDS) dataset of US and European energy firms, we provide the first evidence of differences …
(CDS) dataset of US and European energy firms, we provide the first evidence of differences …
[PDF][PDF] The relationship between sovereign credit rating changes and firm risk
Sovereign credit ratings, extensively studied for their influence on macroeconomics and
country risk, have been less explored in the context of their impact on individual firms. This …
country risk, have been less explored in the context of their impact on individual firms. This …
The extent of informational efficiency in the credit default swap market: evidence from post-earnings announcement returns
NT Jenkins, MD Kimbrough, J Wang - Review of Quantitative Finance and …, 2016 - Springer
Under semi-strong market efficiency future returns are unpredictable from previously
released information. We test the degree of semi-strong form market efficiency in the credit …
released information. We test the degree of semi-strong form market efficiency in the credit …
The relevance of GAAP vs. non-GAAP net assets to creditors: An examination of the credit default swap market
Recent empirical research examines the credit relevance of non-GAAP net assets in low and
high default risk settings and finds that the credit relevance of non-GAAP net assets …
high default risk settings and finds that the credit relevance of non-GAAP net assets …
Default risk and earnings expectations: The role of contract maturity in the credit default swap market
Agency conflicts increase with contract maturity. As contract maturity increases, managers,
acting on behalf of shareholders, have more opportunities to use their discretion in ways that …
acting on behalf of shareholders, have more opportunities to use their discretion in ways that …
Information risk and credit contagion
AYH Huang, CM Cheng - Finance Research Letters, 2013 - Elsevier
This paper demonstrates a positive relationship between information risk and the credit
contagion effect. We use abnormal changes in the Credit Default Swaps (CDS) spreads to …
contagion effect. We use abnormal changes in the Credit Default Swaps (CDS) spreads to …
Determinants of the size of the sovereign credit default swap market
We analyze the sovereign CDS market for 57 countries, using a novel dataset comprising
weekly positions and turnover data. We document that CDS markets-measured relative to a …
weekly positions and turnover data. We document that CDS markets-measured relative to a …
Credit risk signals in CDS market vs agency ratings
M Jacobs Jr, AK Karagozoglu… - The Journal of Risk …, 2016 - emerald.com
Credit risk signals in CDS market vs agency ratings | Emerald Insight Books and journals
Case studies Expert Briefings Open Access Advanced search Credit risk signals in CDS …
Case studies Expert Briefings Open Access Advanced search Credit risk signals in CDS …