Huang, Alex YiHou; Cheng, Chiao-Ming - In: Finance Research Letters 10 (2013) 3, pp. 116-123
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...