Financial news and CDS spreads

被引：10
作者：
Narayan, Paresh Kumar [1 ]
Bannigidadmath, Deepa [2 ]
机构：
[1] Deakin Univ, Ctr Financial Econometr, Geelong, Vic 3217, Australia
[2] Edith Cowan Univ, Sch Business & Law, 270 Joondalup Dr, Joondalup 6027, Australia
来源：
JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE | 2021年 / 29卷
关键词：
CDS spread; Financial news; Predictability; Trading strategy; Profits; CREDIT DEFAULT SWAP; RETURN PREDICTABILITY; INVESTOR SENTIMENT; STOCK; DETERMINANTS; LIQUIDITY; IMPACT; RISK; MARKETS; EQUITY;
D O I：
10.1016/j.jbef.2020.100448
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper examines whether financial news moves CDS spreads for a large number of U.S. stocks sorted into 19 panels consisting of sectors, sizes and credit quality. Using a unique financial news data set, we discover that while both positive and negative news predicts CDS spread changes in most of the panels, annualised mean-variance profits and utility gains are dominated by forecasting models that use positive news as a predictor. At best, risk factors only account for around 31% of observed profits. (c) 2020 Elsevier B.V. All rights reserved.
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页数：14
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