CDS Momentum: Slow-Moving Credit Ratings and Cross-Market Spillovers
研究发现信用违约互换（CDS）存在显著动量效应，年化收益7.1%；基于CDS过去表现的跨市场动量策略在股票和债券中分别产生10.3%和7.3%的年化超额收益，且该效应在流动性强、信息丰富的CDS合约中更强，这些合约的价差提前反映了缓慢变动的信用评级变化。
Abstract This paper highlights the adverse consequences of sluggish credit rating updates in creating information efficiency distortions and investment anomalies. We first document significant credit default swap (CDS) return momentum yielding 7.1% per year. We further show that cross-market momentum strategies based on information in past CDS performance generates an alpha of 10.3% per year in stocks and 7.3% per year in bonds. These CDS momentum and cross-market effects are stronger among more liquid, informationally rich CDS contracts whose CDS spreads move in anticipation of important, yet slow-moving, credit rating changes. Received February 19, 2020; editorial decision July 10, 2020 by Editor Jeffrey Pontiff. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.