Corpus ID: 168953313

Fraud Discovery in the Credit Default Swaps Market

@inproceedings{Gao2015FraudDI,
  title={Fraud Discovery in the Credit Default Swaps Market},
  author={Y. Gao and J. Kim and D. Tsang and H. Wu},
  year={2015}
}
  • Y. Gao, J. Kim, +1 author H. Wu
  • Published 2015
  • Business
  • This study investigates the behavior of credit default swap (CDS) spreads surrounding the discovery of financial reporting fraud. We find that CDS spreads increase in the months before the public discovery of fraud and then spike on the discovery date, implying some CDS investors are better able to detect fraud. We next show that the increase in CDS spreads prior to the public discovery of fraud is more pronounced for firms with larger bank loans and more lead banks in a loan syndicate. We also… CONTINUE READING

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