haku: @indexterm adverse selection / yhteensä: 65
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| Tekijä: | Acharya, V.V. Johnson, T.C. |
| Otsikko: | Insider trading in credit derivatives |
| Lehti: | Journal of Financial Economics
2007 : APR, VOL. 84:1, p. 110-141 |
| Asiasana: | stock markets insider trading adverse selection banking credit derivative securities models |
| Kieli: | eng |
| Tiivistelmä: | This study aims at quantifying the problem of insider trading of the credit derivatives market. Using news reflected in the stock market as a benchmark for public information (here as: info.), there is found significant incremental info. revelation (as: i-rvln.) in the credit default swap market under circumstances consistent with the use of non-public info. by informed banks. The i-rvln. occurs only for negative credit news and for entities subsequently experiencing adverse shocks, increasing with the number of a firm's relationship banks. However, no evidence is found that the degree of asymmetric info. adversely affects prices or liquidity. |
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