Stock price informativeness and credit default swap trading
研究信用违约互换（CDS）交易开始后，美国公司股票价格中关于未来盈余的信息含量是否变化，发现CDS会降低股价信息含量，尤其在负面信息到来前，但2009年后的监管措施缓解了这一影响。
Abstract This study develops a difference‐in‐differences analysis to assess whether trading onset of credit default swaps (CDS) on a firm's debt improves price informativeness in the stock market. Price informativeness is measured by the future earnings response coefficient, which captures the amount of information about future earnings conveyed in stock returns. Our sample comprises U.S. firms (firms experiencing CDS trading on their debt and a group of control firms) and covers the period 1997–2015. The results indicate that CDS hinder stock price informativeness, and thus the ability of prices to track long‐term fundamentals, especially before the arrival of negative information about the obligor. The identified impact is stronger when CDS are first traded, becoming less pervasive with the passage of time. Finally, the results indicate that effects were residual during the early stages of CDS market development and peaked during the period 2004–2008. The impact of CDS introduction weakened after new regulation and ISDA protocols entry into force in 2009. This empirical analysis contributes to the literature by improving knowledge on the consequences of CDS trading on economic and financial outcomes. It points out a negative effect on price informativeness in the stock market and indicates that it was smoothed by regulatory measures designed to improve market infrastructure and transparency.