News sentiment, credit spreads, and information asymmetry

Yang，Shanxiang1; Liu，Zhechen2; Wang，Xinjie1

2020-04-01

10.1016/j.najef.2020.101179

North American Journal of Economics and Finance   影响因子和分区

1062-9408

1879-0860

This paper examines how the sentiment of firm-specific news affects CDS spreads conditional on the degree of information asymmetry. Using a large set of news releases, we document a strong negative relationship between the sentiment of firm-specific news and CDS spreads. More importantly, consistent with the role of public news in reducing information asymmetry, we find evidence that the relation between news sentiment and CDS spreads is stronger for firms with higher information asymmetry. Furthermore, the relation is stronger for news with negative sentiment and during the 2008 financial crisis. Our results are robust to alternative sentiment measures.

Credit default swap Credit risk Institutional investors News sentiment RavenPack

SSCI

英语

第一 ; 通讯

Southern University of Science and Technology[Y01246210] ; Southern University of Science and Technology[Y01246110]

Business & Economics

Business, Finance ; Economics

WOS:000526121400049

ELSEVIER SCIENCE INC

2-s2.0-85081205879

Scopus

1.Department of Finance,Southern University of Science and Technology,Shenzhen,China
2.Department of Mathematics,The Hong Kong University of Science and Technology,Hong Kong

Yang，Shanxiang,Liu，Zhechen,Wang，Xinjie. News sentiment, credit spreads, and information asymmetry[J]. North American Journal of Economics and Finance,2020,52.

Yang，Shanxiang,Liu，Zhechen,&Wang，Xinjie.(2020).News sentiment, credit spreads, and information asymmetry.North American Journal of Economics and Finance,52.

Yang，Shanxiang,et al."News sentiment, credit spreads, and information asymmetry".North American Journal of Economics and Finance 52(2020).