Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
| <mark>Journal publication date</mark> | 31/01/2021 |
|---|---|
| <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.