Chan, Ka Kei and Lin, Ming-Tsung and Lu, Qinye (2020) Corporate Credit Default Swap Systematic Factors. Working Paper. Essex Finance Centre Working Papers, Colchester, UK.. (Unpublished)
|
Text
63_MTL_title.pdf Download (551kB) | Preview |
Abstract
This study examines the statistical significance of systematic and firm-specific determinants of Credit Default Swap (CDS) price variations. We cast doubt on the firm-specific determinants showed in prior research to be statistical significance to CDS price variations. In this paper, two research questions are studied: (1) “Which and to what extent systematic factors can explain the individual CDS price variations?” and (2) “Which and to what extent the firm-specific factors can predict CDS spread variations that are not ex- plained by systematic factors?”. We find that systematic factors account for the majority changes of the CDS spreads (R2 = 35%). Merely 4 of 28 firm-specific factors are statistically significant predictors for CDS changes that are not explained by the systematic factors and they have little explanatory power (R2 = 8%). We document that individual CDS variations can
Item Type: | Monograph (Working Paper) |
---|---|
Uncontrolled Keywords: | Credit Default Swap (CDS); CDS Systematic Factors |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Essex Business School Faculty of Social Sciences > Essex Business School > Essex Finance Centre |
SWORD Depositor: | Elements |
Depositing User: | Elements |
Date Deposited: | 24 Nov 2020 15:35 |
Last Modified: | 06 Jan 2022 14:19 |
URI: | http://repository.essex.ac.uk/id/eprint/29019 |
Actions (login required)
![]() |
View Item |