Revisiting the Relevance of Financial-Statement for CDS Trading From an Adaptive-Markets Hypothesis Perspective

Autor:	George Chalamandaris
Rok vydání:	2018
Předmět:	Credit default swap Financial economics Component (UML) Perspective (graphical) Economics Relevance (information retrieval) Bayesian inference Heuristics Financial statement Diversity (business)
Zdroj:	SSRN Electronic Journal.
ISSN:	1556-5068
DOI:	10.2139/ssrn.3254207
Popis:	Using a framework motivated by the Adaptive Markets Hypothesis (AMH) I explore the extent to which the financial statement (FS) is relevant for Credit Default Swap (CDS) trading. I propose a Bayesian Model Averaging approach to examine properties of accounting metrics that enter the trading heuristics of the market participants. Hypothesis-testing is conducted on various horizons around the announcement of corporate results. The diversity of trading rules and the shift in the heuristics mix that occurred after 2008, support the AMH perspective. Overall, results show that there is a significant component of profit-motivated trading in the CDS market that relies on financial statement information.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::bfe3d9d6e42b0f5d054700d433d9bc0f https://doi.org/10.2139/ssrn.3254207 Zobrazit plný text záznamu