Under-reaction in the sovereign CDS market

Xinjie,Wang1; Yaqing,Xiao2; Hongjun,Yan3; Jinfan,Zhang4

2021-09-01

10.1016/j.jbankfin.2021.106191

JOURNAL OF BANKING & FINANCE   影响因子和分区

0378-4266

1872-6372

["The sovereign CDS market has developed rapidly for two decades and currently has a gross notional amount of more than a trillion dollars. We document a strong momentum effect in this market, which cannot be explained by a large set of risk factors. These momentum returns are positively skewed and higher during recessions. Consistent with the interpretation that this momentum effect is due to in-vestors & rsquo; initial underreaction to sovereign credit information followed by corrections, our evidence shows that the momentum returns tend to be higher during the months surrounding announcements of credit rating or outlook changes of the underlying countries.","(c) 2021 Elsevier B.V. All rights reserved."]

Underreaction Macro information Sovereign CDS Predictability Limits to arbitrage

SSCI

英语

第一

Southern University of Science and Technology[Y01246110] ; National Natural Science Foundation[72003135] ; Capital University of Economics and Business Grant[XRZ2020035]

Business & Economics

Business, Finance ; Economics

WOS:000661751400009

ELSEVIER

ECONOMICS BUSINESS

Web of Science

1.Department of Finance, Southern University of Science and Technology
2.Capital University of Economics and Business
3.Depaul University
4.Chinese University of Hong Kong, Shenzhen

Xinjie,Wang,Yaqing,Xiao,Hongjun,Yan,et al. Under-reaction in the sovereign CDS market[J]. JOURNAL OF BANKING & FINANCE,2021,130:106191.

Xinjie,Wang,Yaqing,Xiao,Hongjun,Yan,&Jinfan,Zhang.(2021).Under-reaction in the sovereign CDS market.JOURNAL OF BANKING & FINANCE,130,106191.

Xinjie,Wang,et al."Under-reaction in the sovereign CDS market".JOURNAL OF BANKING & FINANCE 130(2021):106191.