CDS Trading and Stock Price Crash Risk
UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Discipline Group Research Seminars in Finance
Topic: CDS Trading and Stock Price Crash Risk
Speaker: Dragon Tang, University of Hong Kong
Abstract: We find that stock crash risk is lower after the inception of credit default swaps (CDS) trading. This finding is consistent with the hypothesis that CDS prices reveal negative information that firms intend to hide, resulting in timely adjustment of stock prices and reduction in the likelihood of future stock price crashes. We further show that the stock crash-reduction effect of CDS trading is stronger when corporate managers make more earnings forecasts or have more equity in their compensation packages. Our paper offers novel evidence on how financial innovations in the debt market improve the stability of the equity market
A light lunch will be provided at 1p.m. Please RSVP for catering purposes to Mala Kapahi by 12 noon on Monday, 18th September.
Date: Thursday, 21st September 2017
Time: 12.00 – 1.00 p.m.
Venue: University of Technology, Sydney
Building 8, Room 5.001 Dr Chau Chak Wing Building
14 - 28 Ultimo Road, Ultimo
Coordinator: Adrian Lee (Ph: +61 2 9514 7765)
Enquiries: Mala Kapahi (Ph: +61 2 9514 7777)