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Financial News And Cds Spreads, Paresh Kumar Narayan, Deepa Bannigidadmath
Financial News And Cds Spreads, Paresh Kumar Narayan, Deepa Bannigidadmath
Research outputs 2014 to 2021
© 2020 Elsevier B.V. This paper examines whether financial news moves CDS spreads for a large number of U.S. stocks sorted into 19 panels consisting of sectors, sizes and credit quality. Using a unique financial news data set, we discover that while both positive and negative news predicts CDS spread changes in most of the panels, annualised mean–variance profits and utility gains are dominated by forecasting models that use positive news as a predictor. At best, risk factors only account for around 31% of observed profits.