{"id":"https://openalex.org/W1511025337","doi":"https://doi.org/10.3905/jfi.2011.20.3.056","title":"Jumps in Credit Default Swap Spreads and Stock Returns","display_name":"Jumps in Credit Default Swap Spreads and Stock Returns","publication_year":2010,"publication_date":"2010-12-23","ids":{"openalex":"https://openalex.org/W1511025337","doi":"https://doi.org/10.3905/jfi.2011.20.3.056","mag":"1511025337"},"language":"en","primary_location":{"id":"doi:10.3905/jfi.2011.20.3.056","doi":"https://doi.org/10.3905/jfi.2011.20.3.056","is_oa":false,"landing_page_url":"https://doi.org/10.3905/jfi.2011.20.3.056","pdf_url":null,"source":{"id":"https://openalex.org/S99789271","display_name":"The Journal of Fixed Income","issn_l":"1059-8596","issn":["1059-8596","2168-8648"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-40","russia-white-list-3"],"host_organization":"https://openalex.org/P4310320662","host_organization_name":"Euromoney Institutional Investor","host_organization_lineage":["https://openalex.org/P4310320662"],"host_organization_lineage_names":["Euromoney Institutional Investor"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Fixed Income","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5036935608","display_name":"Patrick Trutwein","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I94509681","display_name":"Technische Universit\u00e4t Braunschweig","ror":"https://ror.org/010nsgg66","country_code":"DE","type":"education","lineage":["https://openalex.org/I94509681"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Patrick Trutwein","raw_affiliation_strings":["is a doctoral student in the Department of Finance, Accounting and Real Estate at the European Business School in Oestrich-Winkel, Germany. patrick.trutwein@ebs.edu"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"is a doctoral student in the Department of Finance, Accounting and Real Estate at the European Business School in Oestrich-Winkel, Germany. patrick.trutwein@ebs.edu","institution_ids":["https://openalex.org/I94509681"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5104355820","display_name":"Sanjay Ramchander","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I92446798","display_name":"Colorado State University","ror":"https://ror.org/03k1gpj17","country_code":"US","type":"education","lineage":["https://openalex.org/I92446798"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Sanjay Ramchander","raw_affiliation_strings":["is an associate professor in the Department of Finance and Real Estate at Colorado State University in Fort Collins, CO. sanjay.ramchander@colostate.edu"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"is an associate professor in the Department of Finance and Real Estate at Colorado State University in Fort Collins, CO. sanjay.ramchander@colostate.edu","institution_ids":["https://openalex.org/I92446798"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5010958438","display_name":"Dirk Schiereck","orcid":"https://orcid.org/0000-0002-3064-2894","observed_orcids":["https://orcid.org/0000-0002-3064-2894"]},"institutions":[{"id":"https://openalex.org/I31512782","display_name":"Technische Universit\u00e4t Darmstadt","ror":"https://ror.org/05n911h24","country_code":"DE","type":"education","lineage":["https://openalex.org/I31512782"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Dirk Schiereck","raw_affiliation_strings":["is a professor in the Department of Business, Law and Economics at Tech University Darmstadt in Darmstadt, Germany. schiereck@bwl.tu-darmstadt.de"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"is a professor in the Department of Business, Law and Economics at Tech University Darmstadt in Darmstadt, Germany. schiereck@bwl.tu-darmstadt.de","institution_ids":["https://openalex.org/I31512782"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.9885,"has_fulltext":false,"cited_by_count":17,"citation_normalized_percentile":{"value":0.84217081,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"20","issue":"3","first_page":"56","last_page":"70"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0003000000142492354,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11653","display_name":"Financial Distress and Bankruptcy Prediction","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/credit-default-swap-spreads","display_name":"credit default swap spreads","score":0.9089999794960022},{"id":"https://openalex.org/keywords/stock-returns","display_name":"stock returns","score":0.8199999928474426},{"id":"https://openalex.org/keywords/credit-events","display_name":"credit events","score":0.6790000200271606},{"id":"https://openalex.org/keywords/financial-crises","display_name":"financial crisis","score":0.7229999899864197},{"id":"https://openalex.org/keywords/speculative-grade-bonds","display_name":"speculative-grade bonds","score":0.8709999918937683},{"id":"https://openalex.org/keywords/regime-dependence","display_name":"regime dependence","score":0.6850000023841858},{"id":"https://openalex.org/keywords/non-financial-firms","display_name":"non-financial firms","score":0.7080000042915344}],"concepts":[{"id":"https://openalex.org/C30589699","wikidata":"https://www.wikidata.org/wiki/Q624028","display_name":"Credit default swap","level":3,"score":0.8583768606185913},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.6363215446472168},{"id":"https://openalex.org/C26457952","wikidata":"https://www.wikidata.org/wiki/Q1655033","display_name":"iTraxx","level":5,"score":0.6348013877868652},{"id":"https://openalex.org/C90992651","wikidata":"https://www.wikidata.org/wiki/Q933132","display_name":"Credit default swap index","level":5,"score":0.5447562336921692},{"id":"https://openalex.org/C2778300220","wikidata":"https://www.wikidata.org/wiki/Q114380","display_name":"Financial crisis","level":2,"score":0.5236068367958069},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.5041240453720093},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.4998781681060791},{"id":"https://openalex.org/C73283319","wikidata":"https://www.wikidata.org/wiki/Q1416617","display_name":"Financial system","level":1,"score":0.4945511519908905},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.4420683681964874},{"id":"https://openalex.org/C44309892","wikidata":"https://www.wikidata.org/wiki/Q691313","display_name":"Credit derivative","level":3,"score":0.41438060998916626},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.40694117546081543},{"id":"https://openalex.org/C89997419","wikidata":"https://www.wikidata.org/wiki/Q2828882","display_name":"Credit valuation adjustment","level":4,"score":0.40335431694984436},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.39123624563217163},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3714568018913269},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.23688995838165283},{"id":"https://openalex.org/C68842666","wikidata":"https://www.wikidata.org/wiki/Q1070699","display_name":"Credit history","level":2,"score":0.20808258652687073},{"id":"https://openalex.org/C24308983","wikidata":"https://www.wikidata.org/wiki/Q5183781","display_name":"Credit reference","level":3,"score":0.14056521654129028},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.3905/jfi.2011.20.3.056","doi":"https://doi.org/10.3905/jfi.2011.20.3.056","is_oa":false,"landing_page_url":"https://doi.org/10.3905/jfi.2011.20.3.056","pdf_url":null,"source":{"id":"https://openalex.org/S99789271","display_name":"The Journal of Fixed Income","issn_l":"1059-8596","issn":["1059-8596","2168-8648"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-40","russia-white-list-3"],"host_organization":"https://openalex.org/P4310320662","host_organization_name":"Euromoney Institutional Investor","host_organization_lineage":["https://openalex.org/P4310320662"],"host_organization_lineage_names":["Euromoney Institutional Investor"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Fixed Income","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":29,"referenced_works":["https://openalex.org/W1511034629","https://openalex.org/W1571438983","https://openalex.org/W1577789187","https://openalex.org/W1578103278","https://openalex.org/W1996421513","https://openalex.org/W2000951820","https://openalex.org/W2002893811","https://openalex.org/W2006804758","https://openalex.org/W2011886674","https://openalex.org/W2025158998","https://openalex.org/W2033910434","https://openalex.org/W2052902288","https://openalex.org/W2054937089","https://openalex.org/W2105973145","https://openalex.org/W2127169188","https://openalex.org/W2136331260","https://openalex.org/W2155797117","https://openalex.org/W2160277425","https://openalex.org/W2606985126","https://openalex.org/W2788667447","https://openalex.org/W3121328583","https://openalex.org/W3122223557","https://openalex.org/W3122458556","https://openalex.org/W3122762010","https://openalex.org/W3122848637","https://openalex.org/W3123699647","https://openalex.org/W3123848600","https://openalex.org/W3125196838","https://openalex.org/W3167235191"],"related_works":["https://openalex.org/W7042781149","https://openalex.org/W4361798554","https://openalex.org/W3122302646","https://openalex.org/W2899174357","https://openalex.org/W3123579407","https://openalex.org/W3124063615","https://openalex.org/W1994812492","https://openalex.org/W630562229","https://openalex.org/W3085508037","https://openalex.org/W2786563687"],"abstract_inverted_index":{"The":[0,46,70,121],"authors":[1,101],"examine":[2],"the":[3,16,51,56,73,77,96,100,124,127],"impact":[4],"of":[5,25],"large":[6],"changes":[7,144],"in":[8],"singleissuer":[9],"credit":[10,28,65,132],"default":[11,150],"swap":[12],"(CDS)":[13],"spreads":[14],"on":[15],"underlying":[17],"entity\u2019s":[18],"equity":[19,59,80,112,130,152],"prices.":[20],"They":[21],"consider":[22],"a":[23],"sample":[24],"633":[26],"significant":[27],"events":[29,86],"(or":[30],"CDS":[31,108,147],"spread":[32,109],"changes)":[33],"relating":[34],"to":[35,55,63,87,142],"295":[36],"U.S.":[37],"nonfinancial":[38],"corporations":[39],"between":[40,107,129],"April":[41],"2005":[42],"and":[43,67,111,131,137,157],"March":[44],"2008.":[45],"results":[47],"indicate":[48],"that":[49,79,126,138],"during":[50,72,95],"period":[52,75],"leading":[53],"up":[54],"financial":[57,97,155,158],"crisis,":[58],"returns":[60],"respond":[61],"positively":[62],"both":[64],"widening":[66,146],"contracting":[68],"events.":[69],"evidence":[71],"pre-crisis":[74],"supports":[76],"view":[78],"investors":[81],"do":[82],"not":[83],"perceive":[84],"debt-deteriorating":[85],"be":[88],"necessarily":[89],"value-deteriorating":[90],"for":[91,116],"shareholders.":[92],"In":[93],"contrast,":[94],"crisis":[98],"period,":[99],"observe":[102],"an":[103],"entirely":[104],"inverse":[105],"relationship":[106,128],"jumps":[110],"price":[113],"movements,":[114],"particularly":[115],"firms":[117],"with":[118],"speculative-grade":[119],"bonds.":[120],"findings":[122],"support":[123],"conclusion":[125],"markets":[133],"is":[134],"regime":[135],"dependent":[136],"stock":[139],"prices":[140],"seem":[141],"anticipate":[143],"from":[145],"spreads.":[148],"TOPICS:Credit":[149],"swaps,":[151],"portfolio":[153],"management,":[154],"crises":[156],"market":[159],"history":[160]},"counts_by_year":[{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":3},{"year":2014,"cited_by_count":2},{"year":2012,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}