The Macro-Informational Role of Derivatives: Evidence from the Sovereign CDS Market
2017-12-12

嘉宾简介



耶鲁大学金融学博士

哈佛大学统计学硕士

清华大学电子工程学士

曾担任国际货币基金组织经济学家,长江商学院助理教授,现任香港中文大学(深圳)经济管理学院副教授。在国内外顶级金融学术期刊,Review of Financial Studies和金融研究发表多篇论文。研究成果获得2011美国西部金融年会最佳论文奖。主要研究方向: 股票市场,中国宏观经济,互联网金融。



Abstract



The sovereign CDS market can predict future stock index returns, government bond yields, and economic activities. A strategy that buys stock indices of countries in the top quintile (those whose creditworthiness improved the most in the previous quarter according to sovereign CDSs) and sells indices from the bottom quintile generates an average return of 15% per year. Our evidence suggests that stock and bond markets gradually “catch up” with the sovereign CDS market, especially during the days surrounding credit rating or outlook changes. The predictive power of sovereign CDS spreads is almost entirely from the systematic, rather than country- specific, component. 


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