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THE LINK BETWEEN EQUITY RETURNS AND CDS SPREADS IN SUB-INVEST GRADE COMPANIES -A study of the European iTraxx indices

Töndevold, Magnus and Dreijer, Peter (2010)
Department of Business Administration
Abstract
The purpose is to investigate whether the correlation
between equity returns and changes in CDS spreads is
stronger for sub-investment grade companies than for
investment grade companies in the European iTraxx
indices.
Please use this url to cite or link to this publication:
author
Töndevold, Magnus and Dreijer, Peter
supervisor
organization
year
type
H1 - Master's Degree (One Year)
subject
keywords
Credit default swap index, iTraxx, Equity index return, CDS spread, Merton’s model, Sub-investment grade, Management of enterprises, Företagsledning, management
language
Swedish
id
2273235
date added to LUP
2010-06-07 00:00:00
date last changed
2012-04-02 18:07:34
@misc{2273235,
  abstract     = {The purpose is to investigate whether the correlation
between equity returns and changes in CDS spreads is
stronger for sub-investment grade companies than for
investment grade companies in the European iTraxx
indices.},
  author       = {Töndevold, Magnus and Dreijer, Peter},
  keyword      = {Credit default swap index,iTraxx,Equity index return,CDS spread,Merton’s model,Sub-investment grade,Management of enterprises,Företagsledning, management},
  language     = {swe},
  note         = {Student Paper},
  title        = {THE LINK BETWEEN EQUITY RETURNS AND CDS SPREADS IN SUB-INVEST GRADE COMPANIES -A study of the European iTraxx indices},
  year         = {2010},
}