Credit spreads: theory and evidence about the information content of stocks, bonds and cdss

Santiago Forte ()

DEE - Working Papers. Business Economics. WB from Universidad Carlos III de Madrid. Departamento de Economía de la Empresa

Abstract: This paper presents a procedure for computing homogeneous measures of credit risk from stocks, bonds and CDSs. The measures are based on bond spreads (BS), CDS spreads (CDS) and implied stock market credit spreads (ICS). We compute these measures for a sample of North American and European firms and find that in most cases, the stock market leads the credit risk discovery process with respect to bond and CDS markets.

Date: 2006-05
New Economics Papers: this item is included in nep-cfn, nep-fmk and nep-rmg
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Citations: View citations in EconPapers (56)

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Persistent link: https://EconPapers.repec.org/RePEc:cte:wbrepe:wb063310

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