원문정보
초록
영어
This study sheds light on the role of option-implied investor sentiment in the credit default swap (CDS) market. Due to the limits to arbitrage caused by credit or counterparty risk and margin requirements, CDS spreads may deviate from fundamentals under the influence of sentiment-driven investors who possess excessively bearish or bullish perceptions to the market or to the firms. We derive several systematic and firm-specific sentiment measures from index options and individual stock options, respectively, and we investigate their impacts on CDS spreads. The sentiment influence is significant, even after controlling the fundamental variables, and is more pronounced for lower-rated CDS obligors during a turbulent period, which is consistent with the limits to arbitrage theory.
목차
1. Introduction
2. Sentiment measures
2.1. Systematic sentiment measures
2.2. Firm-specific sentiment measures
3. Data and methodology
3.1. Data description and variables
3.2. Quantile regression methodology
3.3. Markov regime-switching models
4. Empirical results
4.1. Relationship between CDS spreads and sentiment variables
4.2. Controlling fundamental variables
4.3. Grouping by credit rating
4.4. Quantile regressions
4.5. CDS spreads and composite index for systematic sentiments
4.6. Regime-dependent response of CDS spread to investor sentiment
5. Robust tests
5.1. Error in beliefs or rational updating
5.2. Alternative measures of risk-neutral skewness
6. Conclusions
References
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