Financial news and CDS spreads

Paresh Kumar Narayan; Deepa Bannigidadmath

doi:10.1016/j.jbef.2020.100448

Financial news and CDS spreads

Paresh Kumar Narayan, Deepa Bannigidadmath

Research output: Contribution to journal › Article › Research › peer-review

11 Citations (Scopus)

Abstract

This paper examines whether financial news moves CDS spreads for a large number of U.S. stocks sorted into 19 panels consisting of sectors, sizes and credit quality. Using a unique financial news data set, we discover that while both positive and negative news predicts CDS spread changes in most of the panels, annualised mean–variance profits and utility gains are dominated by forecasting models that use positive news as a predictor. At best, risk factors only account for around 31% of observed profits.

Original language	English
Article number	100448
Number of pages	14
Journal	Journal of Behavioral and Experimental Finance
Volume	29
DOIs	https://doi.org/10.1016/j.jbef.2020.100448
Publication status	Published - Mar 2021
Externally published	Yes

Keywords

CDS spread
Financial news
Predictability
Profits
Trading strategy

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10.1016/j.jbef.2020.100448

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KW - Trading strategy

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Financial news and CDS spreads

Abstract

Keywords

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