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.

RAS ID

32579

Document Type

Journal Article

Date of Publication

3-31-2021

Volume

29

School

School of Business and Law

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.

Publisher

Elsevier

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

Share

 
COinS
 

Link to publisher version (DOI)

10.1016/j.jbef.2020.100448