Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
<mark>Journal publication date</mark> | 31/01/2021 |
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<mark>Journal</mark> | European Journal of Finance |
Issue number | 1-2 |
Volume | 27 |
Number of pages | 22 |
Pages (from-to) | 136-157 |
Publication Status | Published |
Early online date | 23/09/19 |
<mark>Original language</mark> | English |
This paper proposes two new Credit Default Swap (CDS) endogenous systematic factors constructed from peer-CDS information. The factors capture slow-moving credit risk information, as well as fast-moving newly arrived market information embedded in the most recent CDS quotes. Using a sample of U.S. non-financial listed firms from 2002 to 2011, we find that these two endogenous systematic factors dominate firm-specific factors and other widely known systematic factors in in-sample and out-of-sample CDS spread predictions.