326
Views
0
CrossRef citations to date
0
Altmetric
Symposium on Chinese Derivatives Markets, Guest editors: Ke Tang, Tsinghua University, and Ali M. Kutan, Southern Illinois University Edwardsville

An Empirical Analysis of the Impact of Credit Risk Mitigation Warrants on Bonds: Evidence in Chinese Markets

, &

References

  • Avellaneda, M., and R. Cont. 2010. Trade transparency in credit default swap derivatives markets. Working paper, International Swaps and Derivatives Association, New York,NY.
  • Blanco, R., S. Brennan, and I. W. Marsh. 2005. An empirical analysis of the dynamic relation between investment‐grade bonds and credit default swaps. Journal of Finance 60 (5):2255–81. doi:10.1111/j.1540-6261.2005.00798.x.
  • Downing, C., S. Underwood, and Y. Xing. 2009. The relative informational efficiency of stocks and bonds: an intraday analysis. Journal of Financial and Quantitative Analysis 44:1081–102. doi:10.1017/S0022109009990305.
  • Forte, S., and J. Pena. 2009. Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS. Journal of Banking & Finance 33:2013–25. doi:10.1016/j.jbankfin.2009.04.015.
  • Hasbrouck, J. 1993. Assessing the quality of a security market: A new approach to transaction-cost measurement. Review of Financial Studies 6:191–212. doi:10.1093/rfs/6.1.191.
  • Hotchkiss, E., and T. Ronen. 2002. The informational efficiency of the corporate bond market: An intraday analysis. Review of Financial Studies 15:1325–54. doi:10.1093/rfs/15.5.1325.
  • Hou, K., and T. Moskowitz. 2005. Market frictions, price delay, and the cross section of expected returns. Review of Financial Studies 18:981–1020. doi:10.1093/rfs/hhi023.
  • Hull, J., M. Predescu, and A. White. 2004. The relationship between credit default swap spreads, bond yields, and credit rating announcements. Journal of Banking & Finance 28 (11):2789–811. doi:10.1016/j.jbankfin.2004.06.010.
  • Ismailescu, I., and B. Phillips 2011. Savior or sinner: Credit default swaps and the market for sovereign debt. Working paper. University of Waterloo, Waterloo, Ontario, Canada.
  • Lesmond, D., J. Ogden, and C. Trzcinka. 1999. A new estimate of transaction costs. Review of Financial Studies 12:1113–41. doi:10.1093/rfs/12.5.1113.
  • Li, P., and W. Y. Fu. 2015. An empirical analysis on the relationship between CRM spreads and bond credit spreads in China. Journal of Finance and Economics 30 (3):84–95.
  • Newey, W., and K. West. 1987. A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix. Econometrica 55:703–08. doi:10.2307/1913610.
  • Norden, L., and M. Weber. 2010. The comovement of credit default swap, bond and stock markets : an empirical analysis. European Financial Management 15 (3):529–562.
  • Norden, L., and W. Wagner. 2008. Credit derivatives and loan pricing. Journal of Banking & Finance 32:2560–69. doi:10.1016/j.jbankfin.2008.05.006.
  • Ronen, T., and X. Zhou. 2013. Trade and information in the corporate bond market. Journal of Finance Market 16:61–103. doi:10.1016/j.finmar.2012.09.003.
  • Sanjiv, D., K. Madhu, and N. Subhankar. 2013. Did CDS trading improve the market for corporate bonds? Journal of Financial Economics 111:495–525.
  • Shen, X. 2013. Research on CRM at commercial banks. Master's thesis of Shanghai Jiaotong University. (in Chinese).
  • Subrahmanyam, M., D. Tang, and S. Wang. 2011. Does the tail wag the dog? The effect of credit default swaps on credit risk. Working paper, New York University, New York,NY.
  • Sun, L. X. 2014. Analysis and accounting treatment of credit risk mitigation tools. Finance & Accounting 2:40–42. (in Chinese).
  • Wang, W. 2011. Pricing on credit risk mitigation warrants (CRMW). Master's thesis of Shanghai Jiaotong University. (in Chinese).
  • Zhang, Q., and M. Wu. 2012. Pricing on credit risk mitigation tools. Securities Market Herald 3:13. (in Chinese).

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.