Social and Behavioral Sciences Commons^™

Market Efficiency : Testing Price Discovery In The Bond And Credit Derivative Markets, Justin M. Polselli

Honors Theses

Recent developments in credit markets over the past few months have seen credit spreads widen dramatically for a range of debt products. Almost overnight, credit spreads for both investment grade and high yield bonds jumped as news continued to worsen about credit quality. The speed with which credit spreads increased this past summer led many investors to ask if markets were efficient in conveying material information, and to see if there were any indications prior to the credit crunch that the market for credit was going to tighten. New products such as credit derivatives have increased the number of indicators …