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An Examination of the Relationship Between Credit Default Swaps and Equity Prices.

McNicholas, Dwayne (2006) An Examination of the Relationship Between Credit Default Swaps and Equity Prices. Masters thesis, Dublin, National College of Ireland.

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Abstract

This paper analyses the empirical relationship between credit default swap spreads and equity prices at an individual firm level during the period Jan 2000 to Jun 2006. Using samples from a data set of 250 of the most liquid, publicly quoted names in the credit default swap market, I found there to be a statistically significant inverse relationship between these two financial instruments. Additionally, I found that this relationship changes when there is speculation that an individual firm may be purchased by means of a leveraged buyout. During this period of speculation, the relationship is positive until the company is taken private or until the speculation recedes. In the event of the speculation being eliminated, I found that the relationship reverts to being negative.

Item Type: Thesis (Masters)
Subjects: H Social Sciences > HG Finance > Credit. Debt. Loans.
H Social Sciences > HG Finance > Investment
Divisions: School of Business > Master of Arts in Finance
Depositing User: SINEAD CORCORAN
Date Deposited: 17 Feb 2011 18:38
Last Modified: 14 Jan 2015 10:56
URI: http://trap.ncirl.ie/id/eprint/481

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