Financial news and CDS spreads

Paresh Kumar Narayan and Deepa Bannigidadmath

Journal of Behavioral and Experimental Finance, 2021, vol. 29, issue C

Abstract: This paper examines whether financial news moves CDS spreads for a large number of U.S. stocks sorted into 19 panels consisting of sectors, sizes and credit quality. Using a unique financial news data set, we discover that while both positive and negative news predicts CDS spread changes in most of the panels, annualised mean–variance profits and utility gains are dominated by forecasting models that use positive news as a predictor. At best, risk factors only account for around 31% of observed profits.

Keywords: CDS spread; Financial news; Predictability; Trading strategy; Profits (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:29:y:2021:i:c:s2214635020303774

DOI: 10.1016/j.jbef.2020.100448

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