An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps

被引：537
|
作者：
Blanco, R
Brennan, S
Marsh, IW
机构：
[1] Bank England, London, England
[2] Cambridge Endowment Res Finance, Cambridge, England
来源：
JOURNAL OF FINANCE | 2005年 / 60卷 / 05期
关键词：
D O I：
10.1111/j.1540-6261.2005.00798.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We test the theoretical equivalence of credit default swap (CDS) prices and credit spreads derived by Duffie (1999), finding support for the parity relation as an equilibrium condition. We also find two forms of deviation from parity. First, for three firms, CDS prices are substantially higher than credit spreads for long periods of time, arising from combinations of imperfections in the contract specification of CDSs and measurement errors in computing the credit spread. Second, we find short-lived deviations from parity for all other companies due to a lead for CDS prices over credit spreads in the price discovery process.
引用
收藏
页码：2255 / 2281
页数：27
相关论文
共 50 条
  • [31] Asymmetric Dynamics between Informed Trading Activity and Credit Default Swaps
    Hu, Wen-Cheng
    Huang, Alex YiHou
    [J]. JOURNAL OF DERIVATIVES, 2018, 26 (02): : 70 - 85
  • [32] A reduced-form model for pricing defaultable bonds and credit default swaps with stochastic recovery
    Pan, Jian
    Xiao, Qingxian
    [J]. APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2016, 32 (05) : 725 - 739
  • [33] Credit Default Swaps and the EU Short Selling Regulation: A Critical Analysis
    Juurikkala, Oskari
    [J]. EUROPEAN COMPANY AND FINANCIAL LAW REVIEW, 2012, 9 (03): : 307 - 341
  • [34] Volatility relation between credit default swap and stock market: new empirical tests
    Mateev M.
    [J]. Journal of Economics and Finance, 2019, 43 (4) : 681 - 712
  • [35] A substitution effect between price clustering and size clustering in credit default swaps
    Meng, Lei
    Verousis, Thanos
    ap Gwilym, Owain
    [J]. JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2013, 24 : 139 - 152
  • [36] AN ANALYSIS OF THE RELATIONSHIP BETWEEN THE SOVEREIGN CREDIT DEFAULT SWAPS AND THE STOCK MARKET OF PAKISTAN THROUGH HANDLING OUTLIERS
    Shear, Falik
    Butt, Hilal Anwar
    Badshah, Imtiaz
    [J]. PROCEEDINGS OF THE 8TH ECONOMICS & FINANCE CONFERENCE, 2017, : 143 - 159
  • [37] Testing the Transparency Implications of Mandatory IFRS Adoption: The Spread/Maturity Relation of Credit Default Swaps
    Bhat, Gauri
    Callen, Jeffrey L.
    Segal, Dan
    [J]. MANAGEMENT SCIENCE, 2016, 62 (12) : 3472 - 3493
  • [38] Empirical analysis and calibration of the CEV process for pricing equity default swaps
    Baaquie, Belal E.
    Pan, Tang
    Bhanap, Jitendra D.
    [J]. QUANTITATIVE FINANCE, 2011, 11 (12) : 1815 - 1823
  • [39] An empirical analysis of the dynamic relation among investment, earnings and dividends
    DeFusco, Richard
    Dunham, Lee
    Geppert, John
    [J]. MANAGERIAL FINANCE, 2014, 40 (02) : 118 - 136
  • [40] Optimizing Price of Credit Default Swaps for Dynamic Project System of Public-Private Partnership
    Wu, Ming
    Lv, Wenya
    Sun, Qiuji
    [J]. DISCRETE DYNAMICS IN NATURE AND SOCIETY, 2018, 2018
12345