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- W630562229 abstract "This paper analyses the empirical relationship between credit default swap spreads and equity prices at an individual firm level during the period Jan 2000 to Jun 2006. Using samples from a data set of 250 of the most liquid, publicly quoted names in the credit default swap market, I found there to be a statistically significant inverse relationship between these two financial instruments. Additionally, I found that this relationship changes when there is speculation that an individual firm may be purchased by means of a leveraged buyout. During this period of speculation, the relationship is positive until the company is taken private or until the speculation recedes. In the event of the speculation being eliminated, I found that the relationship reverts to being negative." @default.
- W630562229 created "2016-06-24" @default.
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- W630562229 date "2006-07-04" @default.
- W630562229 modified "2023-09-26" @default.
- W630562229 title "An Examination of the Relationship Between Credit Default Swaps and Equity Prices." @default.
- W630562229 hasPublicationYear "2006" @default.
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