Is default risk priced equally fast in the credit default swap and the stock markets? AN empirical investigation
研究了北美、欧洲、英国和亚洲主要经济部门中，违约风险在信用违约互换（CDS）和股票市场中的定价速度，发现股票市场比CDS市场更快反映违约风险，且这一领先关系在负面消息时更强。
We examine whether default risk is priced equally fast in the credit default swap (CDS) and the stock markets in the main economic sectors of North America, Europe, the UK, and Asia. We find significant evidence in all of these regions and economic sectors that the stock market leads the price discovery process because it reflects default risk faster than the CDS market. We also find weak evidence that the documented lead-lag relation is not regime-dependent and that is stronger for negative stock market news. Our findings do not confirm the theoretical prediction that the CDS market responds faster than the stock market to changing credit conditions. Consistent with the market selection theories, our findings imply that informed traders prefer to trade default risk mostly in the stock market but uninformed traders mostly in the CDS market.