EXPLORING THE RELATIONSHIP BETWEEN CDS AND RATING ANNOUNCEMENTS: A LITERATURE REVIEW AND FUTURE RESEARCH DIRECTIONS
Yıl 2013,
Cilt: 5 Sayı: 1, 298 - 309, 01.06.2013
Rosella Carè
Annarita Trotta
Giusy Cavallaro
Öz
This paper proposes a systematic literature review for exploring the relationship
between CDS and rating announcements. To achieve this purpose, we have
isolated and explored the primary relevant fields in the literature and discussed the
findings. The value added of this preliminary work can be identified in the effort
to identify new and promising research areas for future work.
Kaynakça
- Burghof, Hans Peter, Philipp Johannes Schneider and Andreas Wengner (2012),
- “The impact of credit rating announcements on corporate’s Credit Default Swap Spread – Are there intra-industry effects observable?”, http://ssrn.com/abstract=2084916, [Accessed 19.04.2013].
- Castellano, Rosella and Luisa Scaccia (2012), "CDS and rating announcements: changing signaling during the crisis?", Review of Managerial Science, Vol. 6, No.3, pp. 239-264.
- Castellano, Rosella and Rosella Giacometti (2012), “Credit Default Swaps:
- Implied Ratings versus Official Ones”, Quarterly Journal of Operations Research, Vol. 10, No. 2, pp. 163-180. Cathcart, Lara, Lina El-Jahel and Leo Evans (2010), "The Credit Rating Crisis and the Informational Content of Corporate Credit Ratings", http://ssrn.com/abstract=1729231, [Accessed 19.04.2013].
- Chan-Lau, Jorge (2003), “Anticipating Credit Events Using Credit Default Swaps with an Application to Sovereign Debt Crises”, International Monetary Fund
- Working Paper 03/106. Washington D.C.: IMF. Chava, Sudheer, Rohan Ganduri and Chayawat Ornthanalai (2012), "Are Credit
- Ratings Still Relevant?", 04.2013]. http://ssrn.com/abstract=2023998, [Accessed
- Di Cesare, Antonio (2006), “Do Market-Based Indicators Anticipate Rating
- Agencies? Evidence for International Banks”, Economic Notes, Vol. 35, No. 1, pp. 121-50. Di Cesare, Antonio and Giovanni Guazzarotti (2010), "An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil", Bank of Italy Temi di discussione Working Paper Rome: Bank of Italy.
- Galil, Koresh and Gil Soffer (2011), "Good news, bad news and rating announcements: An empirical investigation", Journal of Banking & Finance, Vol. , No. 11, pp. 3101-3119.
- Gonzalez, Fernando, Francois Haas, Johannes Persson, Liliana Toledo, Martin Violi and Carmen Zins (2004), “Market dynamics associated with credit ratings:
- A literature review”, European Central Banking Occasional Paper 16. Frankfurt: ECB. Hill, Paula and Robert Faff (2010), “The market impact of relative agency activity in the sovereign ratings market”, Journal of Business Finance &
- Accounting, Vol. 37, No. 9-10, pp. 1309-1347.
- Hull, John, Mirela Predescu and Alan White (2004), "The relationship between credit default swap spreads, bond yields, and credit rating announcements", Journal of Banking & Finance, Vol. 28, No.11, pp. 2789-2811.
- Kiff, John, Sylwia Barbara Nowak and Liliana Schumacher (2012), “Are Rating
- Agencies Powerful? An Investigation into the Impact and Accuracy of Sovereign Ratings”, International Monetary Fund Working Paper 12/23. Washington D.C.: IMF. Kou, Jianming and Simone Varotto (2004), “Predicting Agency Rating
- Movements with Spread Implied Ratings”, European Financial Management, Vol. 14, No. 3, pp. 503-527. Lehnert, Thorsten and Frederick Neske (2006), "On the Relationship between
- Credit Rating Announcements and Credit Default Swap Spreads for European Reference Entities", Journal of Credit risk, Vol. 2, No. 2, pp.83-90. Mayordomo, Sergio, Juan Ignacio Peña and Eduardo S. Schwartz (2010). “Are all credit default swap databases equal?”, National Bureau of Economic Research
- Working Paper 16590. Cambridge:NBER
- Meho, Lokman and Kiduk Yang (2007), “Impact of data sources on citation counts and rankings of LIS faculty: Web of Science versus Scopus and Google
- Scholar”, Journal of the american society for information science and technology, Vol.58, No. 13, pp. 2105-2125.
- Micu, Marian, Eli Remolona and Philip Wooldridge (2006),
- “The Price Impact of Rating Announcements: WhichAnnouncements Matter?”, Bank of International Settlement Working Paper 207. Basel:BIS. Mikki, Susanne (2010), "Comparing Google Scholar and ISI Web of Science for earth sciences", Scientometrics, Vol. 82, No.2, pp.321-331.
- Norden, Lars (2011), "Why do CDS spreads change before rating announcements?", http://ssrn.com/abstract=1138698, [Accessed 19.04.2013].
- Norden, Lars and Martin Weber (2004), "Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements", Journal of
- Banking & Finance, Vol. 28, No.11, pp.2813-2843.
- Remolona, Eli, Michela Scatigna and Eliza Wu (2008), "A ratings‐based approach to measuring sovereign risk", International Journal of Finance & Economics, Vol.13, No.1, pp.26-39.
- Tranfield, David, David Denyer and Palminder Smart (2003), "Towards a methodology for developing evidence‐informed management knowledge by means of systematic review", British Journal of management, Vol. 14, No.3, pp. 222.
- Zhang, Benjamin, Yibin Hao Zhou and Haibin Zhu (2005), "Explaining credit default swap spreads with the equity volatility and jump risks of individual firms",
- Review of Financial Studies, Vol. 22, No.12, pp. 5099-5131.
Yıl 2013,
Cilt: 5 Sayı: 1, 298 - 309, 01.06.2013
Rosella Carè
Annarita Trotta
Giusy Cavallaro
Kaynakça
- Burghof, Hans Peter, Philipp Johannes Schneider and Andreas Wengner (2012),
- “The impact of credit rating announcements on corporate’s Credit Default Swap Spread – Are there intra-industry effects observable?”, http://ssrn.com/abstract=2084916, [Accessed 19.04.2013].
- Castellano, Rosella and Luisa Scaccia (2012), "CDS and rating announcements: changing signaling during the crisis?", Review of Managerial Science, Vol. 6, No.3, pp. 239-264.
- Castellano, Rosella and Rosella Giacometti (2012), “Credit Default Swaps:
- Implied Ratings versus Official Ones”, Quarterly Journal of Operations Research, Vol. 10, No. 2, pp. 163-180. Cathcart, Lara, Lina El-Jahel and Leo Evans (2010), "The Credit Rating Crisis and the Informational Content of Corporate Credit Ratings", http://ssrn.com/abstract=1729231, [Accessed 19.04.2013].
- Chan-Lau, Jorge (2003), “Anticipating Credit Events Using Credit Default Swaps with an Application to Sovereign Debt Crises”, International Monetary Fund
- Working Paper 03/106. Washington D.C.: IMF. Chava, Sudheer, Rohan Ganduri and Chayawat Ornthanalai (2012), "Are Credit
- Ratings Still Relevant?", 04.2013]. http://ssrn.com/abstract=2023998, [Accessed
- Di Cesare, Antonio (2006), “Do Market-Based Indicators Anticipate Rating
- Agencies? Evidence for International Banks”, Economic Notes, Vol. 35, No. 1, pp. 121-50. Di Cesare, Antonio and Giovanni Guazzarotti (2010), "An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil", Bank of Italy Temi di discussione Working Paper Rome: Bank of Italy.
- Galil, Koresh and Gil Soffer (2011), "Good news, bad news and rating announcements: An empirical investigation", Journal of Banking & Finance, Vol. , No. 11, pp. 3101-3119.
- Gonzalez, Fernando, Francois Haas, Johannes Persson, Liliana Toledo, Martin Violi and Carmen Zins (2004), “Market dynamics associated with credit ratings:
- A literature review”, European Central Banking Occasional Paper 16. Frankfurt: ECB. Hill, Paula and Robert Faff (2010), “The market impact of relative agency activity in the sovereign ratings market”, Journal of Business Finance &
- Accounting, Vol. 37, No. 9-10, pp. 1309-1347.
- Hull, John, Mirela Predescu and Alan White (2004), "The relationship between credit default swap spreads, bond yields, and credit rating announcements", Journal of Banking & Finance, Vol. 28, No.11, pp. 2789-2811.
- Kiff, John, Sylwia Barbara Nowak and Liliana Schumacher (2012), “Are Rating
- Agencies Powerful? An Investigation into the Impact and Accuracy of Sovereign Ratings”, International Monetary Fund Working Paper 12/23. Washington D.C.: IMF. Kou, Jianming and Simone Varotto (2004), “Predicting Agency Rating
- Movements with Spread Implied Ratings”, European Financial Management, Vol. 14, No. 3, pp. 503-527. Lehnert, Thorsten and Frederick Neske (2006), "On the Relationship between
- Credit Rating Announcements and Credit Default Swap Spreads for European Reference Entities", Journal of Credit risk, Vol. 2, No. 2, pp.83-90. Mayordomo, Sergio, Juan Ignacio Peña and Eduardo S. Schwartz (2010). “Are all credit default swap databases equal?”, National Bureau of Economic Research
- Working Paper 16590. Cambridge:NBER
- Meho, Lokman and Kiduk Yang (2007), “Impact of data sources on citation counts and rankings of LIS faculty: Web of Science versus Scopus and Google
- Scholar”, Journal of the american society for information science and technology, Vol.58, No. 13, pp. 2105-2125.
- Micu, Marian, Eli Remolona and Philip Wooldridge (2006),
- “The Price Impact of Rating Announcements: WhichAnnouncements Matter?”, Bank of International Settlement Working Paper 207. Basel:BIS. Mikki, Susanne (2010), "Comparing Google Scholar and ISI Web of Science for earth sciences", Scientometrics, Vol. 82, No.2, pp.321-331.
- Norden, Lars (2011), "Why do CDS spreads change before rating announcements?", http://ssrn.com/abstract=1138698, [Accessed 19.04.2013].
- Norden, Lars and Martin Weber (2004), "Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements", Journal of
- Banking & Finance, Vol. 28, No.11, pp.2813-2843.
- Remolona, Eli, Michela Scatigna and Eliza Wu (2008), "A ratings‐based approach to measuring sovereign risk", International Journal of Finance & Economics, Vol.13, No.1, pp.26-39.
- Tranfield, David, David Denyer and Palminder Smart (2003), "Towards a methodology for developing evidence‐informed management knowledge by means of systematic review", British Journal of management, Vol. 14, No.3, pp. 222.
- Zhang, Benjamin, Yibin Hao Zhou and Haibin Zhu (2005), "Explaining credit default swap spreads with the equity volatility and jump risks of individual firms",
- Review of Financial Studies, Vol. 22, No.12, pp. 5099-5131.