Information risk and credit contagion

Yi-Hou Huang*, Chiao Ming Cheng

*Corresponding author for this work

研究成果: Article

5 引文 斯高帕斯(Scopus)

摘要

This paper demonstrates a positive relationship between information risk and the credit contagion effect. We use abnormal changes in the Credit Default Swaps (CDS) spreads to measure the contagion effect, and the dispersion of analyst forecasts as a proxy for information risk. We find that firms with higher information risk suffer a greater contagion effect that occurs in advance to the credit default events. This finding is robust under controls of key firm-specific characteristics and general condition of stock and credit markets.

原文English
頁(從 - 到)116-123
頁數8
期刊Finance Research Letters
10
發行號3
DOIs
出版狀態Published - 1 九月 2013

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