An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market

By Haibin Zhu. 2006

126 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/79010c576b3861ce80f31436b18918d4f20d2504

Citations in the corpus

• The debt market relevance of management earnings forecasts: evidence from before and during the credit crisis (2011, unknown): “…credit risk more accurately and quickly than corporate bond yield spreads (see Longstaff, Mithal, and Neis, 2003; Blanco, Brennan and Marsh, 2005; Zhu, 2006).7 Third, bond markets suffer from potential liquidity concerns, because many bonds are tied up in “buy and hold” portfolios of…”
• The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion (2008, unknown): “Zhu (2004) finds CDS spreads react particularly faster to bad news than spreads in the underlying cash market. CDS spreads have also been analysed by Pan and Singleton (2006) and Longstaff et al (2005) for sovereign and corporate obligors respectively.”
• Are All Credit Default Swap Databases Equal (2013, unknown): “Papers that employ this dataset include: Acharya and Johnson (2007), Zhang, Zhou and Zhu (2009), Jorion and Zhang (2007), Jorion and Zhang (2009), Zhu (2006), Micu et al. (2004), and Cao, Yu, and Zhong (2010).”
• Credit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisis (2013, unknown): “This finding is consistent with the results reported by, for example, Blanco et al. (2005) or Zhu (2006) in the context of the corporate debt markets.”
• Emergence of Financial Intermediaries in Electronic Markets: The Case of Online P2P Lending (2009, unknown): “As the dependent variable we therefore analyze the spread over three-year interest rate swaps (on the use of swap rates as a proxy for the risk-free rate see Zhu 2006), measured in basis points (i.e. one hundredth of one percent) in order to control for differing market interest rates in our data.”
• Does the CDS Market Reflect Regulatory Climate Risk Disclosures? (2020, unknown): “Second, Blanco et al. (2005) and Zhu (2006) show that CDS spreads tend to respond more quickly than bond spreads to changes in market and credit conditions.”
• The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis (2009, unknown): “In a similar study, Zhu (2004) examines the same question for a sample of 24 firms (hereof 19 from the US) during the period 1999-2002.”
• Exploring the CDS-Bond Basis (2006, unknown): “17 See Felsenheimer (2004), Francis et al. (2003), Hjort et al. (2002), Hull et al. (2004), McAdie and O'Kane (2001), Mc Pherson et al. (2002), Zhu (2004).”
• Are Credit Default Swaps a Sideshow? Evidence That Information Flows from Equity to CDS Markets (2015, unknown): “Blanco, Brennan, and Marsh (2005) and Zhu (2006) find that CDS spreads predict corporate bond credit spreads, and thus that CDS spreads improve bond price discovery.”
• A framework for assessing the systemic risk of major financial institutions (2009, unknown): “We first illustrate the calculation of the indicator of systemic risk of the banking system during the sample period, then assess its vulnerabilities to extreme shocks in the stress testing exercise.”