Under-reaction in the sovereign CDS market

Xinjie Wang; Yaqing Xiao; Hongjun Yan; Jinfan Zhang

doi:10.1016/j.jbankfin.2021.106191

Under-reaction in the sovereign CDS market

Xinjie Wang
, Yaqing Xiao
, Hongjun Yan
, Jinfan Zhang

Driehaus College of Business and Kellstadt Graduate School of Business

Southern University of Science and Technology (SUSTech)
Capital University of EcoNomics and Business
Chinese University of Hong Kong (Shenzhen)

Research output: Contribution to journal › Article › peer-review

Original language	English
Article number	106191
Journal	Journal of Banking and Finance
Volume	130
DOIs	https://doi.org/10.1016/j.jbankfin.2021.106191
State	Published - Sep 2021

ASJC Scopus Subject Areas

Finance
Economics and Econometrics

Keywords

Limits to arbitrage
Macro information
Predictability
Sovereign CDS
Underreaction

Access to Document

10.1016/j.jbankfin.2021.106191

Cite this

@article{8f8b6728ab1b47c18654ab476c67d4d7,

title = "Under-reaction in the sovereign CDS market",

keywords = "Limits to arbitrage, Macro information, Predictability, Sovereign CDS, Underreaction",

author = "Xinjie Wang and Yaqing Xiao and Hongjun Yan and Jinfan Zhang",

note = "Publisher Copyright: {\textcopyright} 2021",

year = "2021",

month = sep,

doi = "10.1016/j.jbankfin.2021.106191",

language = "English",

volume = "130",

journal = "Journal of Banking and Finance",

issn = "0378-4266",

}

TY - JOUR

T1 - Under-reaction in the sovereign CDS market

AU - Wang, Xinjie

AU - Xiao, Yaqing

AU - Yan, Hongjun

AU - Zhang, Jinfan

PY - 2021/9

Y1 - 2021/9

KW - Limits to arbitrage

KW - Macro information

KW - Predictability

KW - Sovereign CDS

KW - Underreaction

UR - https://www.scopus.com/pages/publications/85107691083

UR - https://www.scopus.com/pages/publications/85107691083#tab=citedBy

U2 - 10.1016/j.jbankfin.2021.106191

DO - 10.1016/j.jbankfin.2021.106191

M3 - Article

AN - SCOPUS:85107691083

SN - 0378-4266

VL - 130

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

M1 - 106191

ER -

Under-reaction in the sovereign CDS market

ASJC Scopus Subject Areas

Keywords

Access to Document

Other files and links

Cite this