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An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps
Abstract
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.
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Cites
Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
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Javadi, S., & Masum, A.-A. (2021) · Journal of Corporate Finance · doi:10.1016/j.jcorpfin.2021.102019 · Cited by 594
The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis
Norden, L., & Weber, M. (2009) · European Financial Management · doi:10.1111/j.1468-036x.2007.00427.x · Cited by 526
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Stulz, R. M. (2010) · Journal of Economic Perspectives · doi:10.1257/jep.24.1.73 · Cited by 494
Metadata
- Authors
- BLANCO, R., BRENNAN, S., & MARSH, I. W.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2005-09-16
- Volume
- 60
- Issue
- 5
- Pages
- 2255-2281
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3123699647
- Cited by
- 1,144
- References
- 1
- FWCI
- 59.07
- Type
- journal article
- Language
- en
- Open access
- closed
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- BLANCO, R., BRENNAN, S., & MARSH, I. W. (2005). An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2005.00798.x
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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