Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements

By Lars Norden, Martin Weber. 2004

703 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/e94d1137384f062ea26ac1d2613f6f0e87b891fd

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Philippe Jorion
2. Haibin Zhu
3. João A. C. Santos
4. Gaiyan Zhang
5. O. Shapir
6. Dan Amiram
7. Uri Ben-Zion
8. Martin Weber

In Finance

1. Marti G. Subrahmanyam
2. Haibin Zhu
3. D. Tang
4. João A. C. Santos
5. Philippe Jorion
6. Sarah Qian Wang
7. Gaiyan Zhang
8. António Afonso

Citations in the corpus

• The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis (2009, positive): “24 See Norden and Weber (2004) for related, event-study based evidence.”
• What Determines Euro Area Bank CDS Spreads (2010, background): “Long term bond ratings are also lead by CDS rate changes (Norden & Weber (2004)).”
• Has the CDS Market Lowered the Cost of Corporate Debt (2009, positive): “Longstaff, Mithal, and Neis (2004), Norden and Weber (2004), and Blanco et al. (2005) all find that the CDS market plays a more important role in the price discovery process than the bond market.”
• Credit Rating Agencies in Capital Markets: A Review of Research Evidence on Selected Criticisms of the Agencies (2007, neutral): “Norden and Weber (2004) summarize seventeen studies that investigate the market response to credit rating announcements.”
• An Analysis of the Determinants of Credit Default Swap Spread Changes Before and During the Subprime Financial Turmoil (2010, background): “Other literature (Hull et al., 2004, Norden and Weber, 2004, Di Cesare, 2005) which analyzes the relationship between CDS spreads and credit ratings show that the CDS market is usually very effective in anticipating rating changes.”
• Information Effects of Bond Rating Changes (2007, positive): “Norden and Weber [2004] provide a useful”
• An introduction to recent research on credit ratings (2004, background): “Two papers in this Issue – Hull et al. (2004) and Norden and Weber (2004) – reexamine the relationship between rating changes and market prices in the context of the CDS market.”
• Good and bad credit contagion: Evidence from credit default swaps (2007, background): “Norden and Weber (2004) investigate the CDS and stock market reactions to credit rating announcements.”