The relationship between credit default swap spreads, bond yields, and credit rating announcements

Journal of Banking and Finance

Volumn 28, Issue 11, 2004, Pages 2789-2811

  Hull, John ^a   Predescu, Mirela ^a   White, Alan ^a  

^a UNIVERSITY OF TORONTO   (Canada)

Author keywords

Bonds; Credit default swaps; Credit ratings; Credit risk

Indexed keywords

EID: 4644372273     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2004.06.010     Document Type: Article

References (28)

1. E. Altman D. Kao The implications of corporate bond rating drift Financial Analysts Journal May-June 1992 64-75
2. Blanco, R., Brennan, S., Marsh, I.W., 2003. An empirical analysis of the dynamic relationship between investment grade bonds and credit default swaps. Working Paper, Bank of England, May
3. Cantor, R., Mann, C., 2003. Measuring the Performance of Corporate Bond Ratings. Special Comment, Moody's Investor's Services, April
4. B. Cornell W. Landsman A.C. Shapiro Cross-sectional regularities in the response of stock prices to bond rating changes Journal of Accounting, Auditing and Finance 4 1989 460-479
5. Cossin, C., Hricko, T., Aunon-Nerin, D., Huang, Z., 2002. Exploring the determinants of credit risk in credit default transaction data: Is fixed income markets' information sufficient to evaluate credit risk. Working Paper, University of Lausanne, May
6. G. Duffee Idiosyncratic variation in Treasury bill yields Journal of Finance 51 1996 527-551
7. D. Duffie Credit swap valuation Financial Analysts Journal January/February 1999 73-87
8. L. Dynkin J. Hyman V. Konstantinovsky Sufficient diversification in credit portfolios Journal of Portfolio Management Fall 2002 89-114
9. B. Efron R.J. Tibshirani An Introduction to the Bootstrap 1993 Chapman & Hall
10. J.C. Goh L.H. Ederington Is a bond rating downgrade bad news, good news, or no news for stockholders? Journal of Finance 48 December 1993 2001-2008
11. J.C. Goh L.H. Ederington Cross-sectional variation in the stock market reaction to bond rating changes Quarterly Review of Economics and Finance 39 1 1999 101-112
12. P. Grier S. Katz The differential effects of bond rating changes among industrial and public utility bonds by maturity Journal of Business 49 April 1976 226-239
13. J. Hand R.W. Holthausen R.W. Leftwich The effect of bond rating agency announcements on bond and stock prices Journal of Finance 47 June 1992 733-752
14. G. Hite A. Warga The effect of bond-rating changes on bond price performance Financial Analysts Journal May/June 1997 35-51
15. R.W. Holthausen R.W. Leftwich The effect of bond rating changes on common stock prices Journal of Financial Economics 17 1 1986 57-89
16. Houweling, P., Vorst, T., 2002. An empirical comparison of default swap pricing models. Working Paper, Erasmus University Rotterdam, June
17. J.C. Hull A. White Valuing credit default swaps I: No counterparty default risk Journal of Derivatives 8 1 2000 29-40 Fall
18. J.C. Hull A. White Valuing credit default swaps II: Modeling default correlations Journal of Derivatives 8 3 2001 12-21
19. S. Katz The price and adjustment process of bonds to rating reclassifications: A test of bond market efficiency Journal of Finance 29 May 1974 551-559
20. D. Lando T. Skodeberg Analyzing rating transitions and rating drift with continuous observations Journal of Banking and Finance 26 2002 423-444
21. Longstaff, F.A., Mithal, S., Neis, E., 2003. The credit default swap market: Is credit protection priced correctly. Working Paper, Anderson School, UCLA, August
22. Moody's, 2003. Default and Recovery Rates of Corporate Bond Issuers: A Statistical Review of Moody's Ratings Performance, 1920-2002. Moody's Investor's Services, February
23. G.E. Pinches J.C. Singleton The adjustment of stock prices to bond rating changes Journal of Finance 33 1 1978 29-44
24. Reinhart, V., Sack, B., 2001. The changing information content of market interest rates. BIS Working Paper, prepared for Autumn 2001, Central Bank Economist Meeting at the Bank for International Settlements, Basel, Switzerland
25. F.S. Skinner T.G. Townend An empirical comparison of default swaps International Review of Financial Analysis 11 2002 297-309
26. Standard and Poor's, 2001. Outlook proves a reliable indicator of company default probability. Working Paper
27. M. Steiner V.G. Heinke Event study concerning international bond price effects of credit rating actions International Journal of Finance and Economics 6 2001 139-157
28. J.W. Wansley J.L. Glascock T.M. Clauretie Institutional bond pricing and information arrival: The case of bond rating changes Journal of Business Finance and Accounting 19 5 1992 733-750