Credit derivatives and stock return synchronicity
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DOI: 10.1016/j.jfs.2016.12.006
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- Luca Bellardini & Pierluigi Murro & Daniele Previtali, 2019. "The Risk Weighted Ownership Index: an ex-ante measure of banks' risk and performance," Working Papers CASMEF 1904, Dipartimento di Economia e Finanza, LUISS Guido Carli.
- Cao, Jiahui & Wen, Fenghua & Zhang, Yue & Yin, Zhujia & Zhang, Yun, 2022. "Idiosyncratic volatility and stock price crash risk: Evidence from china," Finance Research Letters, Elsevier, vol. 44(C).
- Abad, Pilar & Ferreras, Rodrigo & Robles, M-Dolores, 2019. "Informational role of rating revisions after reputational events and regulation reforms," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 91-103.
- Bertsatos, Georgios & Sakellaris, Plutarchos & Tsionas, Mike G., 2017.
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Journal of Financial Stability, Elsevier, vol. 32(C), pages 115-123.
- Georgios Bertsatos & Plutarchos Sakellaris, 2017. "Did the Financial Crisis affect the Market Valuation of Large Systemic U.S. Banks?," Working Papers 201709, Athens University Of Economics and Business, Department of Economics.
- Paulo Pereira da Silva & Isabel Vieira, 2024. "Stock price informativeness and credit default swap trading," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 2950-2970, July.
- Vo, Xuan Vinh, 2017. "Do foreign investors improve stock price informativeness in emerging equity markets? Evidence from Vietnam," Research in International Business and Finance, Elsevier, vol. 42(C), pages 986-991.
- Naceur Essaddam & Miran Hossain & Tashfeen Hussain, 2023. "Do credit default swaps impact lenders’ monitoring of loans?," Review of Quantitative Finance and Accounting, Springer, vol. 61(2), pages 567-600, August.
- Li, Xiao & Xing, Yao, 2023. "When stock return synchronicity meets investor sentiment," Finance Research Letters, Elsevier, vol. 53(C).
- Can Huang & Yuqiang Cao & Meiting Lu & Yaowen Shan & Yizhou Zhang, 2023. "Messages in online stock forums and stock price synchronicity: Evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(3), pages 3011-3041, September.
- Ibhagui, Oyakhilome, 2021. "How do sovereign risk, equity and foreign exchange derivatives markets interact?," Economic Modelling, Elsevier, vol. 97(C), pages 58-78.
- Li, Mingsheng & Liu, Desheng & Peng, Hongfeng & Zhang, Luxiu, 2020. "Does low synchronicity mean more or less informative prices? Evidence from an emerging market," Journal of Financial Stability, Elsevier, vol. 51(C).
- Marra, Miriam & Yu, Fan & Zhu, Lu, 2019. "The impact of trade reporting and central clearing on CDS price informativeness," Journal of Financial Stability, Elsevier, vol. 43(C), pages 130-145.
- Bui, Christina & Scheule, Harald & Wu, Eliza, 2020. "A cautionary tale of two extremes: The provision of government liquidity support in the banking sector," Journal of Financial Stability, Elsevier, vol. 51(C).
- Zheng, Shuxia & Zhang, Xiaoming & Wang, Hu, 2023. "Green credit policy and the stock price synchronicity of heavily polluting enterprises," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 251-264.
- Ran Zhao & Lu Zhu, 2020. "The externalities of credit default swaps on stock return synchronicity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 92-125, January.
- Bellardini, Luca & Murro, Pierluigi & Previtali, Daniele, 2024. "Measuring the risk appetite of bank-controlling shareholders: The Risk-Weighted Ownership index," Global Finance Journal, Elsevier, vol. 60(C).
- Liu, Jinyu & Zhong, Rui, 2017. "Political uncertainty and a firm's credit risk: Evidence from the international CDS market," Journal of Financial Stability, Elsevier, vol. 30(C), pages 53-66.
- Su, Kun & Zhang, Miaomiao & Liu, Chengyun, 2022. "Financial derivatives, analyst forecasts, and stock price synchronicity: Evidence from an emerging market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
- Abedifar, Pejman & Bouslah, Kais & Zheng, Yeliangzi, 2021. "Stock price synchronicity and price informativeness: Evidence from a regulatory change in the U.S. banking industry," Finance Research Letters, Elsevier, vol. 40(C).
- Li, Weiping & Li, Tingyu & Jiang, Dequan & Zhang, Xuezhi, 2024. "Bridging the information gap: How digitalization shapes stock price informativeness," Journal of Financial Stability, Elsevier, vol. 71(C).
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More about this item
Keywords
Credit default swaps; Firm-specific information; Stock return synchronicity; Informativeness;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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