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Essays On The Information Role Of Credit Default Swaps, Hao Cheng
Essays On The Information Role Of Credit Default Swaps, Hao Cheng
Dissertations and Theses Collection (Open Access)
Chapter 1: Credit Default Swaps Pricing Errors and Related Stock Returns
This article investigates the impacts of Credit Default Swaps (CDS) pricing errors on related stock returns. Using a parsimonious CDS valuation model, which produces an above average adjusted R2 of 90%, I find that its pricing errors significantly predict cross-section stock returns. Further investigation reveals that the cross-market return predictability channels via Merton (1974)'s structural prediction and primary dealers' capital risk. This paper provides a novel view of the complex interactions of capital markets and offers insights on the relative market efficiencies.
Chapter 2: CDS Markets Informativeness and Related …