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The Impact of Earnings on the Pricing of Credit Default Swaps

✍ Scribed by Callen, Jeffrey L.; Livnat, Joshua; Segal, Dan

Book ID
120465716
Publisher
American Accounting Association
Year
2009
Tongue
English
Weight
257 KB
Volume
84
Category
Article
ISSN
0001-4826

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## Abstract We investigate the common practice of estimating the dependence structure between credit default swap prices on multi‐name credit instruments from the dependence structure of the equity returns of the underlying firms. We find convincing evidence that the practice is inappropriate for h