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Empirische Untersuchung zum Zusammenhang des CDS— und Aktienmarktes sowie zur „private information hypothesis“

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Credit Default Swaps und Informationsgehalt

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Die Hypothese für die empirische Arbeit lautet, dass die CDS-Spreads der deutschen Referenzunternehmen wertvolle „inside information“ über das Ausfallrisiko refl ektieren. Die „private information hypothesis“, nach der die deutschen Universalbanken über private Informationen über die deutschen am CDS-Markt gehandelten Schuldner verfügen, wird anhand zweier Stichproben von am CDS-Markt aktiv gehandelten deutschen Referenzunternehmen sowie US-Referenzschuldnern überprüft.

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(2008). Empirische Untersuchung zum Zusammenhang des CDS— und Aktienmarktes sowie zur „private information hypothesis“. In: Credit Default Swaps und Informationsgehalt. Gabler. https://doi.org/10.1007/978-3-8349-9869-9_8

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