Finnerty, John D.; Miller, Cameron D.; Chen, Ren-Raw - In: Journal of Banking & Finance 37 (2013) 6, pp. 2011-2030
We document the ability of the credit default swap (CDS) market to anticipate favorable as well as unfavorable credit … rating change (RC) announcements based on more extensive samples of credit rating events and CDS spreads than previous … Outlook (OL) announcements, after controlling for prior credit rating events, lead to significant CARs at the time positive CW …