News‐Specific Price Discovery in Credit Default Swap Markets
研究了股票和信用违约互换市场之间的领先滞后关系，发现股票市场的价格发现仅在整体正面新闻后领先CDS市场，而其他新闻则不然，并基于交易商利用信息优势对冲动机提供了解释。
We examine the lead and lag relation between equity and credit default swap (CDS) markets. We find that price discovery in equity markets only leads CDS markets following aggregate positive news and not so following other news. While difficult to reconcile with standard asset pricing theories, asymmetric price adjustment is common in goods markets, arising from intermediary power. We provide an explanation for this asymmetry based on dealers exploiting informational advantages vis‐à‐vis investors with hedging motives. Consistent with this explanation, we find that the patterns we document are related to firm‐level proxies for hedging demand, as well as economy‐wide measures of information asymmetries.