Default risk transmission in the travel and leisure industry

SJH Shahzad, E Bouri, R Ferrer - International Journal of Hospitality …, 2023 - Elsevier
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 …

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 …

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 …

[PDF][PDF] The relationship between sovereign credit rating changes and firm risk

CC Chang, WK Wong, ST Lo, YH Liao - Heliyon, 2023 - cell.com
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 …

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 …

The relevance of GAAP vs. non-GAAP net assets to creditors: An examination of the credit default swap market

KR Brasel, MS Hill, GK Taylor - Advances in accounting, 2022 - Elsevier
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 …

Default risk and earnings expectations: The role of contract maturity in the credit default swap market

MS Hill, GK Taylor - Accounting & Finance, 2023 - Wiley Online Library
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 …

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 …

Determinants of the size of the sovereign credit default swap market

T Berg, D Streitz - Available at SSRN 2188270, 2015 - papers.ssrn.com
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 …

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
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