Information risk and credit contagion

Alex Huang () and Chiao-Ming Cheng

Finance Research Letters, 2013, vol. 10, issue 3, 116-123

Abstract: This paper demonstrates a positive relationship between information risk and the credit contagion effect. We use abnormal changes in the Credit Default Swaps (CDS) spreads to measure the contagion effect, and the dispersion of analyst forecasts as a proxy for information risk. We find that firms with higher information risk suffer a greater contagion effect that occurs in advance to the credit default events. This finding is robust under controls of key firm-specific characteristics and general condition of stock and credit markets.

Keywords: Contagion effect; Information risk; Credit Default Swaps (search for similar items in EconPapers)
JEL-codes: G11 G14 G15 G32 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:10:y:2013:i:3:p:116-123

DOI: 10.1016/j.frl.2013.06.002

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