Abstract

© 2020 Elsevier B.V. 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.

Document Type

Journal Article

Date of Publication

3-31-2021

Volume

29

Publication Title

Journal of Behavioral and Experimental Finance

Publisher

Elsevier

School

School of Business and Law

RAS ID

32579

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Comments

This is an author's accepted manuscript of: Narayan, P. K., & Bannigidadmath, D. (2021). Financial news and CDS spreads. Journal of Behavioral and Experimental Finance, 29, article 100448. https://doi.org/10.1016/j.jbef.2020.100448

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Link to publisher version (DOI)

10.1016/j.jbef.2020.100448