计量经济分析 = Econometric analysis

We use EU sovereign bond yield and CDS spreads daily data to carry out an event study analysis on the reaction of government yield spreads before and after announcements from rating agencies (Standard & Poor’s, Moody’s, Fitch). Our results show: significant responses of government bond yield spreads to changes in rating notations and outlook, particularly in the case of negative announcements; announcements are not anticipated at 1-2 months horizon but there is bi-directional causality between ratings and spreads within 1-2 weeks; spillover effects especially from lower rated countries to higher rated countries; and persistence effects for recently downgraded countries.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1847505_code485639.pdf?abstractid=1847505

Sovereign Credit Ratings and Financial Markets Linkages: Application to European Data

Since the intensification of the crisis in September 2008, all euro area long-term government bond yields relative to the German Bund have been characterized by highly persistent processes with upward trends for countries with weaker fiscal fundamentals. Looking at the daily period 1 September 2008 - 4 August 2011, we find that three factors can explain the recorded developments in sovereign spreads: an aggregate regional risk factor, the country-specific credit risk and the spillover effect from Greece. Specifically, higher risk aversion has increased the demand for the Bund and this is behind the pricing of all euro area spreads, including those for Austria, Finland and the Netherlands. Country-specific credit ratings have played a key role in the developments of the spreads for Greece, Ireland, Portugal and Spain. Finally, the rating downgrade in Greece has contributed to developments in spreads of countries with weaker fiscal fundamentals: Ireland, Portugal, Italy, Spain, Belgium and France.

/pdf/the-euro-area-sovereign-debt-crisis-safe-haven-credit-rating-254h6hipoj.pdf

The Euro Area Sovereign Debt Crisis: Safe Haven, Credit Rating Agencies and the Spread of the Fever from Greece, Ireland and Portugal

During the 1980s, U.S. firms that announced stock repurchase programs earned favorable long-run returns. Recently, concerns have been raised regarding the robustness of these findings. This comes at a time of explosive worldwide growth in the adoption of repurchase programs. This study provides out-of-sample evidence for 1,060 Canadian repurchase programs announced between 1989 and 1997. As in the U.S., the Canadian stock market seems to discount the information contained in repurchase announcements. Value stocks announcing repurchase programs have particularly favorable returns. Canadian law requires companies to report how many shares they repurchase on a monthly basis. We find that managers are sensitive to mispricing as completion rates are higher in cases where undervaluation may be a more important factor. Moreover, trades are linked to price movements; managers buy more shares when prices fall and reduce their buying when prices rise.

Stock Repurchases in Canada: Performance and Strategic Trading

https://www.eco.uc3m.es/~pgomes/Papers/Pub_JIMF_RatingsEuro.pdf

Sovereign credit ratings and financial markets linkages: Application to European data

This paper examines the impact of sovereign credit rating change announcements on the CDS spreads of the event countries, and their spillover effects on other emerging economies' CDS premiums. In contrast to previous work, we find that positive events have a more consistent impact on sovereign CDS markets in the short period surrounding the event, and are more likely to spill over to other emerging markets, whereas negative events have a higher probability of being predicted by the CDS premium. The transmission mechanisms for positive events are the common creditor and competition in trade markets.

The Reaction of Emerging Market Credit Default Swap Spreads to Sovereign Credit Rating Changes

This paper examines the effect of sovereign credit rating change announcements on the CDS spreads of the event countries, and their spillover effects on other emerging economies’ CDS premiums. We find that positive events have a greater impact on CDS markets in the two-day period surrounding the event, and are more likely to spill over to other emerging countries. Alternatively, CDS markets anticipate negative events, and previous changes in CDS premiums can be used to estimate the probability of a negative credit event. The transmission mechanisms for positive events are the common creditor and competition in trade markets.

The reaction of emerging market credit default swap spreads to sovereign credit rating changes

In this paper, we analyze the determinants and effects of credit default swap (CDS) trading initiation in the sovereign bond market. CDS trading initiation is associated with a 30–150 basis point reduction in sovereign bond yields, with greater yield reductions accruing to higher default risk economies. For countries with high default risk, rated B or lower by Standard and Poor’s, CDS initiation is also associated with significant price efficiency benefits in the underlying market. CDS trading initiation is more likely following increases in local equity index volatility, index spreads for regional and global CDS markets, or depreciation of the local currency relative to the US dollar, and decreases in a country’s ability to service foreign debt. Our results are robust to selection bias controls based on these factors.

/pdf/credit-default-swaps-and-the-market-for-sovereign-debt-3rei5o2r9a.pdf

Credit default swaps and the market for sovereign debt

This paper analyzes the determinants and effect of credit default swap (CDS) trading initiation on sovereign bonds in 54 countries, focusing on market completeness, price efficiency and borrowing costs. We find that CDS initiation enhances market completeness in the majority of countries in our sample. Our results suggest that for high default risk and low financial openness countries, CDS initiation provides significant price efficiency benefits in the underlying market. In addition, we find that CDS initiation reduces risk premiums to investment-grade sovereigns while increasing borrowing costs for sub-investment-grade economies. CDS trading initiation is more likely following increases in local stock index volatility and the volatility risk premium and decreases in foreign currency reserves and the local currency exchange rate with the USD. Our results are robust to CDS initiation endogeneity controls constructed with these factors.

Savior or Sinner? Credit Default Swaps and the Market for Sovereign Debt

We analyze the determinants and effects of credit default swap (CDS) trading initiation on sovereign bonds. For high default risk countries, CDS initiation provides significant price efficiency benefits in the underlying market. CDS initiation also reduces average risk premiums, with reductions in borrowing costs likewise increasing with default risk. CDS trading initiation is more likely following increases in local equity index volatility, the volatility risk premium, or index spreads for regional or global CDS markets and decreases in a country’s ability to service foreign debt. Our results are robust to selection bias controls based on these factors.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID2258621_code463191.pdf?abstractid=1785376&mirid=1&type=2

Iuliana Ismailescu

Papers

The Reaction of Emerging Market Credit Default Swap Spreads to Sovereign Credit Rating Changes

The reaction of emerging market credit default swap spreads to sovereign credit rating changes

Credit default swaps and the market for sovereign debt

Savior or Sinner? Credit Default Swaps and the Market for Sovereign Debt

Credit Default Swaps and the Market for Sovereign Debt