Do Equity Markets Favor Credit Markets News Over Options Market News?

Antje Berndt, Anastasiya Ostrovnaya
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引用次数: 60

Abstract

Credit default swap (CDS) and equity options markets often experience abnormal swings prior to the announcement of negative credit news. Option prices reveal information about such forthcoming adverse events at least as early as credit spreads, except for negative earnings announcements. Prior to negative credit news being announced, the equity market does not respond to abnormal movements in option prices unless that information has also manifested itself in credit spreads, perhaps because options are perceived as more likely to trade on unsubstantiated rumors than default swaps.
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股票市场对信贷市场新闻比对期权市场新闻更青睐吗?
信用违约互换(CDS)和股票期权市场在信用负面消息公布之前经常经历异常波动。期权价格至少早于信贷息差就能揭示即将发生的不利事件的信息,但负面收益公告除外。在负面信贷消息公布之前,股市不会对期权价格的异常波动做出反应,除非该信息也体现在信用利差上,这可能是因为人们认为期权比违约掉期更有可能根据未经证实的谣言进行交易。
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