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 (Unpublished)
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 (Unpublished)
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 (Unpublished)
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) |
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Additional Information: | Source info: Journal of Futures Markets, forthcoming |
Uncontrolled Keywords: | Credit Default Swap (CDS); CDS Systematic Factors |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Essex Business School |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 24 Nov 2020 15:35 |
Last Modified: | 07 Aug 2024 15:07 |
URI: | http://repository.essex.ac.uk/id/eprint/29019 |
Available files
Filename: 63_MTL_title.pdf