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

Comments

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

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

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.

Research Themes

Society and Culture

Priority Areas

Individual, economic, organisational, political and social transformation

Available for download on Friday, March 31, 2023

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