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Do sovereign ratings cause instability in cross-border emerging CDS markets?
(Elsevier, 2021)
info:eu-repo/semantics/article,
We analyse the cross-border transmission effect of credit ratings on sovereign CDSs covering a broad sample of emerging countries during the period 2004 to 2015. This study differentiates between the spillover and competition ...
The nexus between sovereign CDS and stock market volatility: new evidence
(MDPI, 2021)
info:eu-repo/semantics/article,
This paper extends the studies published to date by performing an analysis of the causal relationships between sovereign CDS spreads and the estimated conditional volatility of stock indices. This estimation is performed ...
The quality premium with leverage and liquidity constraints
(Elsevier, 2021)
info:eu-repo/semantics/article,
This research analyzes the causes of the quality premium, one of the most intriguing and successful investment strategies in equity markets. While previous research has argued that psychological biases explain the performance ...