TY - JOUR
T1 - Reaction of the credit default swap market to the release of periodic financial reports
AU - Nasiri, Maryam Akbari
AU - Narayan, Paresh Kumar
AU - Mishra, Sagarika
N1 - Publisher Copyright:
© 2019 Elsevier Inc.
Copyright:
Copyright 2019 Elsevier B.V., All rights reserved.
PY - 2019/10
Y1 - 2019/10
N2 - This paper studies the reaction of the CDS market to the release of periodic financial reports. The results show that periodic financial reports contain valuable information for the CDS market. This finding supports the value relevance of accounting information for the CDS market. We also find that the reaction of the CDS market to the information content of periodic financial reports is with delay. This implies that the limited attention phenomenon characterizes the CDS market.
AB - This paper studies the reaction of the CDS market to the release of periodic financial reports. The results show that periodic financial reports contain valuable information for the CDS market. This finding supports the value relevance of accounting information for the CDS market. We also find that the reaction of the CDS market to the information content of periodic financial reports is with delay. This implies that the limited attention phenomenon characterizes the CDS market.
KW - CDS market
KW - Form 10-K (annual reports)
KW - Form 10-Q (quarterly reports)
KW - Limited attention
KW - Periodic financial reports
UR - http://www.scopus.com/inward/record.url?scp=85073066468&partnerID=8YFLogxK
U2 - 10.1016/j.irfa.2019.101383
DO - 10.1016/j.irfa.2019.101383
M3 - Article
AN - SCOPUS:85073066468
SN - 1057-5219
VL - 65
JO - International Review of Financial Analysis
JF - International Review of Financial Analysis
M1 - 101383
ER -