DC Field | Value | Language |
---|---|---|
dc.contributor.author | 김정무 | ko |
dc.contributor.author | 박윤정 | ko |
dc.date.accessioned | 2014-11-11T07:55:31Z | - |
dc.date.available | 2014-11-11T07:55:31Z | - |
dc.date.created | 2014-01-14 | - |
dc.date.created | 2014-01-14 | - |
dc.date.issued | 2013-05 | - |
dc.identifier.citation | 선물연구, v.21, no.2, pp.203 - 222 | - |
dc.identifier.issn | 1229-988X | - |
dc.identifier.uri | http://hdl.handle.net/10203/190557 | - |
dc.description.abstract | We provide evidence that current CDS slope negatively predicts future stock returns over several months in the Korean market. The entire sample period covers January 2003 through June 2009. The empirical results are as follows. First, when constructing quartile portfolios based on the slope of CDS spreads, we find that predictive power of CDS slope lasts for seven months. In addition, the lower the CDS slope is, the higher average stock return is. Specifically, a slope-based strategy of buying the lowest slope and selling the highest slope makes profits over 2% each month. The profitability is statistically and economically significant even after controlling for some risk factors. We also find that the results are robust to various sub-samples, portfolio-weighting schemes, as well as the number of sorted portfolios. This abnormal return cannot be explained by standard risk factors, default risk, and expectation hypothesis. | - |
dc.language | Korean | - |
dc.publisher | 한국파생상품학회 | - |
dc.title | Does CDS Slope Predict Future Stock Returns? Evidence from the Korean Market | - |
dc.title.alternative | CDS 만기구조의 기울기가 미래 주식수익률을 예측하는가? 한국 시장을 중심으로 | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.citation.volume | 21 | - |
dc.citation.issue | 2 | - |
dc.citation.beginningpage | 203 | - |
dc.citation.endingpage | 222 | - |
dc.citation.publicationname | 선물연구 | - |
dc.identifier.kciid | ART001772337 | - |
dc.contributor.localauthor | 김정무 | - |
dc.contributor.nonIdAuthor | 박윤정 | - |
dc.subject.keywordAuthor | 신용부도스왑 | - |
dc.subject.keywordAuthor | 기간구조 기울기 | - |
dc.subject.keywordAuthor | 미래 주식수익률 | - |
dc.subject.keywordAuthor | 예측력 | - |
dc.subject.keywordAuthor | 이상 현상 | - |
dc.subject.keywordAuthor | Credit Default Swap | - |
dc.subject.keywordAuthor | Slope of term structure | - |
dc.subject.keywordAuthor | Future Returns of Stocks | - |
dc.subject.keywordAuthor | Forecasting Power | - |
dc.subject.keywordAuthor | Anomaly | - |
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