Document Type
Journal Article
Publication Title
Journal of Behavioral and Experimental Finance
Volume
29
Publisher
Elsevier
School
School of Business and Law
RAS ID
32579
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.
DOI
10.1016/j.jbef.2020.100448
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Included in
Film and Media Studies Commons, Finance and Financial Management Commons, Statistics and Probability Commons
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