The Sensitivity of the Credit Default Swap Market to Financial Analysts’ Forecast Revisions

Pervaiz Alam, Xiaoling Pu, Barry Hettler
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引用次数: 3

Abstract

We examine the impact of analysts’ earnings per share (EPS) and cash flow per share (CPS) forecast revisions on the market for credit default swaps. We find that while the issuance of both EPS and CPS forecast revisions are inversely associated with changes in credit default swap (CDS) spreads, cash flow forecast revisions have a larger effect. We demonstrate that the relationship between CPS forecast revisions and CDS spreads tends to be stronger in cases of financial distress. We provide evidence that cash flow forecasts dominate earnings forecasts in some situations and that participants in the CDS market discriminate between analysts' forecast revisions and recommendation changes.
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信用违约互换市场对金融分析师预测修正的敏感性
我们研究了分析师的每股收益(EPS)和每股现金流量(CPS)预测修正对信用违约掉期市场的影响。我们发现,虽然EPS和CPS预测修正的发行与信用违约互换(CDS)价差的变化呈负相关,但现金流量预测修正的影响更大。我们证明,在财务困境的情况下,CPS预测修正和CDS价差之间的关系往往更强。我们提供的证据表明,现金流量预测在某些情况下主导盈利预测,CDS市场的参与者会区分分析师的预测修正和建议变化。
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