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- W1511034629 abstract "This paper examines the efficiency of the CDS market by conducting a comparative event study in which both the CDS and the stock markets' responses to earnings announcements are considered. I find that both markets have statistically significant reactions to earnings announcements and both markets anticipate these informational events up to 90 trading days prior to announcement. I further find that neither markets' reaction to earnings announcements is entirely efficient as there is evidence of both over- and under-reaction to earnings news. However, results are sensitive to both the categorization of earnings and the model used to generate abnormal performance." @default.
- W1511034629 created "2016-06-24" @default.
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- W1511034629 date "2008-01-01" @default.
- W1511034629 modified "2023-10-14" @default.
- W1511034629 title "The Credit Default Swap Market's Reaction to Earnings Announcements" @default.
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- W1511034629 doi "https://doi.org/10.2139/ssrn.1104888" @default.
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