Are Credit Default Swaps a Sideshow? Evidence That Information Flows from Equity to CDS Markets
研究发现权益回报领先信用保护回报，知情交易者主要在权益市场活动，符合交易成本决定市场选择的理论，且信用保护回报在盈利公告等新闻事件期间反应更快。
Abstract This article provides evidence that equity returns lead credit protection returns at daily and weekly frequencies, whereas credit protection returns do not lead equity returns. Our results indicate that informed traders are primarily active in the equity market rather than the credit default swap (CDS) market. These findings are consistent with standard theories of market selection by informed traders in which market selection is determined partially by transaction costs. We also find that credit protection returns respond more quickly during salient news events (earnings announcements) compared to days with similar equity returns and turnover. This evidence provides support for explanations related to investor inattention.