The extent of informational efficiency in the credit default swap market : evidence from post-earnings announcement returns
Year of publication: |
May 2016
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Authors: | Jenkins, Nicole Thorne ; Kimbrough, Michael D. ; Wang, Juan |
Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 46.2016, 4, p. 725-761
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Subject: | Credit default swaps | Market efficiency | Default risk | Post earnings announcement drift | Accrual anomaly | Kreditderivat | Credit derivative | Effizienzmarkthypothese | Efficient market hypothesis | Ankündigungseffekt | Announcement effect | Kreditrisiko | Credit risk | Schätzung | Estimation | Kapitaleinkommen | Capital income | Gewinn | Profit | Insolvenz | Insolvency |
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