Corpus ID: 208879024

Information and Sentiment in CDS Markets

@inproceedings{Mizen2017InformationAS,
  title={Information and Sentiment in CDS Markets},
  author={P. Mizen and Veronica Veleanu},
  year={2017}
}
We investigate the evidence for an information channel in credit default swap (CDS) markets in Europe and the United States. Recent literature has suggested that investor sentiment signals future downturns in real activity, operating through the external finance premium and a credit supply channel. Our paper shows that measures of financial spreads from CDS contracts across various maturities and sectors also anticipate economic downturns. The most liquid and heavily traded CDS contracts (and… Expand

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