Wang, Peipei; Bhar, Ramaprasad - In: Journal of International Financial Markets, … 30 (2014) C, pp. 55-80
This study focuses on the information spillover between the credit protection returns and equity returns for 252 United States firms between 2004 and 2010. There is significant information flow from the equity market to the credit default swap (CDS) market under turmoil conditions for...