CDS Spreads Determinants of European Companies
| Authors | |
|---|---|
| Year of publication | 2014 |
| Type | Article in Proceedings |
| Conference | 6th International Conference "Economic Challenges in Enlarged Europe" - Conference Proceedings |
| MU Faculty or unit | |
| Citation | |
| Field | Management and administrative |
| Keywords | credit default swap; determinant; panel regression; spread |
| Attached files | |
| Description | Credit default swap spreads can reflect the potential situation, resp. financial health of a company, and also are considered as a measure of credit risk and as a leading indicator of the future development of company's creditworthiness. Investors should pay attention to the factors that can affect credit default swap spreads. The aim of this study is to find out which determinants had the influence on the spreads of credit default swaps issued on the debt of the European reference entities. Panel data regressions are employed in order to explore the influence of selected determinants in the pre-crisis, crisis and post-crisis period within individual rating groups. Company specific and market determinants are taken into consideration. In most of the cases, the results are consistent with theoretical assumptions, but explanatory power of determinants varied across time and rating categories. |
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