Credit Derivatives and Analyst Behavior
研究了信用违约互换（CDS）在盈余公告前的信息生产作用，发现CDS价格发现与私有信息和公司债券流动性不足相关，且CDS交易能降低每股收益预测的分散度和误差，使分析师降级更及时。
ABSTRACT This paper presents a comprehensive analysis of the role of credit default swaps (CDS) in information production surrounding earnings announcements. First, we demonstrate that the strength of CDS price discovery prior to earnings announcements is related to the presence of private information and the illiquidity of the underlying corporate bonds, consistent with the CDS market being a preferred venue for informed trading. Next, we ask how the information revealed through CDS trading influences the output of equity and credit rating analysts. We find that post-CDS trading, the dispersion and error of earnings per share forecasts are generally reduced, and downgrades by both types of analysts become more frequent and more timely before large negative earnings surprises, suggesting that the CDS market conveys information valuable to financial analysts.