Insider trading in credit derivatives

• 成果类型: Article
• 署名作者: Acharya, Viral V.; Johnson, Timothy C.
• 署名单位: University of London; London Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2006.05.003
• 发表日期: 2007
• 页码: 110-141
• 关键词: Adverse selection; Bank relationships; credit derivatives

摘要

Insider trading in the credit derivatives market has become a significant concern for regulators and participants. This paper attempts to quantify the problem. Using news reflected in the stock market as a benchmark for public information, we find significant incremental information revelation in the credit default swap market under circumstances consistent with the use of non-public information by informed banks. The information revelation occurs only for negative credit news and for entities that subsequently experience adverse shocks, and increases with the number of a firm's relationship banks. We find no evidence, however, that the degree of asymmetric information adversely affects prices or liquidity in either the equity or credit markets. (c) 2006 Elsevier B.V. All rights reserved.