Insider Trading in Credit Derivatives

By V. Acharya, Timothy C. Johnson. 2005

819 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/b398556738b7b3d07eb2edbbefdc72a489e183a5

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Citations in the corpus

The Cross-Section of Credit Risk Premia and Equity Returns (2013, neutral): “Acharya and Johnson (2007) show that there is an information flow from CDS to equity markets: they find that under circumstances consistent with the use of non-public information by informed banks, recent increases in CDS spreads predict negative stock returns.”
Does the Tail Wag the Dog? The Effect of Credit Default Swaps on Credit Risk (2012, neutral): “We employ three approaches in our analysis.”
Are All Credit Default Swap Databases Equal (2013, neutral): “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.”
Are the U.S. Stock Market and Credit Default Swap Market Related? (2008, neutral): “This is particularly important in light of the evidence of the presence of insider trading in the CDS market documented by Acharya and Johnson [2007]. According to Acharya and Johnson, the significant incremental information revealed in the CDS market is conditional on the negative credit news and f”
Decomposing European CDS Returns (2010, methodology): “Acharya and Johnson (2007) document a roughly linear relationship between the elasticity of credit spreads with respect to stock prices and the inverse level of the credit spread for the Merton model.”
Pricing in the Primary Market for Cat Bonds: New Empirical Evidence (2016, neutral): “Even before its formal justification, this method had already been widely applied in high-class credit risk research (see, e.g., Acharya and Johnson, 2007, Jorion and Zhang, 2007, Pan and Singleton, 2008, Zhang et al., 2009).”
Capital Regulation, Risk-Taking and Monetary Policy: A Missing Link in the Transmission Mechanism? (2008, neutral): “29 For example, there is a growing literature, both theoretical and empirical, documenting how risk transfer instruments (credit derivatives) can impact on lending decisions, including the possibility of increasing lending capacity eg ECB (2004), Hänsel and Krahnen (2006), Acharya and Johnson (2007)”
How Much Do Banks Use Credit Derivatives to Hedge Loans? (2009, background): “Acharya and Johnson (2007) show that adverse information about a company can be incorporated in credit default swap prices before it gets incorporated in the stock price.”
Laying off credit risk: Loan sales versus credit default swaps (2013, neutral): “[ 1 ], there is a loss of eciency even when this reputation”
Institutional Stock Trading on Loan Market Information (2011, positive): “including Hotchkiss and Ronen (2002), Longstaff, Mithal, and Neis (2005), Blanco, Brennan, and Marsh (2005), Altman, Gande, and Saunders (2010), and Acharya and Johnson (2007). Ours is the first paper to look directly at institutional managers’ investments in the loan market and to show evidence of ”
The Relative Informational Efficiency of Stocks and Bonds: An Intraday Analysis (2007, neutral): “Acharya and Johnson (2007) find evidence that traders with inside information may use the credit default swap market to profit from their information.”
Credit Default Swaps: A Survey (2014, background): “[2014] strongly contradict the evidence of insider trading in the CDS market supported in Acharya and Johnson [2007]. The former authors therefore provide additional arguments to justify the differential results. They argue that the results in Acharya and Johnson [2007] are restricted to a small sam”
Information Asymmetry, the Cost of Debt, and Credit Events: Evidence from Quasi-Random Analyst Disappearances (2016, result): “, Ederington and Goh, 1998; Hotchkiss and Ronen, 2002; Acharya and Johnson, 2007; Cheng and Subramanyam, 2008; Downing et al., 2009). Finally, our paper complements several recent papers that use the same type of shock to study the causal effects of information asymmetry. Hong and Kacperczyk (2010) ”
The debt market relevance of management earnings forecasts: evidence from before and during the credit crisis (2011, neutral): “In contrast to equity markets, where retail investors play an important role, credit markets are almost exclusively populated by institutional investors who, because of their greater access to alternative sources of information, are less reliant on publicly released information such as management fo”
Price Discovery and Dissemination of Private Information by Loan Syndicate Participants (2010, background): “, Acharya and Johnson (2007), Ivashina and Sun (2007) and Massa and Rehman (2005)). And finally, we also contribute to the recent literature on the involvement of institutional investors in the syndicated debt market (Gatev and Strahan (2008), Jiang et al. (2008), Nandy and Shao (2007), Nini (2008))”