An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps

摘要: We analyse the behaviour of credit default swaps (CDS) for a sample firms and find support theoretical equivalence CDS prices spreads. When this is violated we suggest price can be viewed as an upper bound on risk, while spread provides lower bound. show that market main forum risk discovery are better integrated with firm-specific variables in short-run. Both markets equally reflect these factors long-run, primarily brought about by bond adjustment.