Reaction of the credit default swap market to the release of periodic financial reports

Maryam Akbari Nasiri, Paresh Narayan () and Sagarika Mishra

International Review of Financial Analysis, 2019, vol. 65, issue C

Abstract: This paper studies the reaction of the CDS market to the release of periodic financial reports. The results show that periodic financial reports contain valuable information for the CDS market. This finding supports the value relevance of accounting information for the CDS market. We also find that the reaction of the CDS market to the information content of periodic financial reports is with delay. This implies that the limited attention phenomenon characterizes the CDS market.

Keywords: CDS market; Periodic financial reports; Form 10-K (annual reports); Form 10-Q (quarterly reports); Limited attention (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:65:y:2019:i:c:s1057521918306872

DOI: 10.1016/j.irfa.2019.101383

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