{"id":"https://openalex.org/W2884722142","doi":"https://doi.org/10.1080/1351847x.2018.1501402","title":"Do the stock and CDS markets price credit risk equally in the long-run?","display_name":"Do the stock and CDS markets price credit risk equally in the long-run?","publication_year":2018,"publication_date":"2018-07-26","ids":{"openalex":"https://openalex.org/W2884722142","doi":"https://doi.org/10.1080/1351847x.2018.1501402","mag":"2884722142"},"language":"en","primary_location":{"id":"doi:10.1080/1351847x.2018.1501402","doi":"https://doi.org/10.1080/1351847x.2018.1501402","is_oa":false,"landing_page_url":"https://doi.org/10.1080/1351847x.2018.1501402","pdf_url":null,"source":{"id":"https://openalex.org/S82316188","display_name":"European Journal of Finance","issn_l":"1351-847X","issn":["1351-847X","1466-4364"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The European Journal of Finance","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/A5067657949","display_name":"Lidija Lovreta","orcid":"https://orcid.org/0000-0002-6643-5555","observed_orcids":["https://orcid.org/0000-0002-6643-5555"]},"institutions":[{"id":"https://openalex.org/I134033392","display_name":"EADA Business School","ror":"https://ror.org/033qfx261","country_code":"ES","type":"education","lineage":["https://openalex.org/I134033392"]}],"countries":["ES"],"is_corresponding":true,"raw_author_name":"Lidija Lovreta","raw_affiliation_strings":["Department of Finance & Management Control, EADA Business School, Barcelona, Spain"],"raw_orcid":"https://orcid.org/0000-0002-6643-5555","affiliations":[{"raw_affiliation_string":"Department of Finance & Management Control, EADA Business School, Barcelona, Spain","institution_ids":["https://openalex.org/I134033392"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5068693894","display_name":"Zorica Mladenovi\u0107","orcid":"https://orcid.org/0000-0003-1579-4205","observed_orcids":["https://orcid.org/0000-0003-1579-4205"]},"institutions":[{"id":"https://openalex.org/I4068193","display_name":"University of Belgrade","ror":"https://ror.org/02qsmb048","country_code":"RS","type":"education","lineage":["https://openalex.org/I4068193"]}],"countries":["RS"],"is_corresponding":false,"raw_author_name":"Zorica Mladenovi\u0107","raw_affiliation_strings":["Faculty of Economics, University of Belgrade, Belgrade, Serbia"],"raw_orcid":"https://orcid.org/0000-0003-1579-4205","affiliations":[{"raw_affiliation_string":"Faculty of Economics, University of Belgrade, Belgrade, Serbia","institution_ids":["https://openalex.org/I4068193"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5067657949"],"corresponding_institution_ids":["https://openalex.org/I134033392"],"apc_list":null,"apc_paid":null,"fwci":1.2965,"has_fulltext":false,"cited_by_count":5,"citation_normalized_percentile":{"value":0.81404083,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":87,"max":95},"biblio":{"volume":"24","issue":"17","first_page":"1699","last_page":"1726"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9945999979972839,"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":0.9945999979972839,"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":0.002400000113993883,"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/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0007999999797903001,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/credit-risk-pricing","display_name":"credit risk pricing","score":0.8360000252723694},{"id":"https://openalex.org/keywords/credit-default-swaps","display_name":"credit default swaps","score":0.8050000071525574},{"id":"https://openalex.org/keywords/stock-market","display_name":"stock market","score":0.6399999856948853},{"id":"https://openalex.org/keywords/cointegration","display_name":"cointegration","score":0.7519999742507935},{"id":"https://openalex.org/keywords/structural-breaks","display_name":"structural breaks","score":0.7910000085830688},{"id":"https://openalex.org/keywords/non-financial-firms","display_name":"non-financial firms","score":0.7639999985694885},{"id":"https://openalex.org/keywords/long-run-equilibrium-relationship","display_name":"long-run equilibrium relationship","score":0.6179999709129333}],"concepts":[{"id":"https://openalex.org/C145162277","wikidata":"https://www.wikidata.org/wiki/Q1751675","display_name":"Cointegration","level":2,"score":0.9489994049072266},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.7140617370605469},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.6840740442276001},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5680763125419617},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5300542712211609},{"id":"https://openalex.org/C198531522","wikidata":"https://www.wikidata.org/wiki/Q485146","display_name":"Sample (material)","level":2,"score":0.5059079527854919},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5009133815765381},{"id":"https://openalex.org/C129361004","wikidata":"https://www.wikidata.org/wiki/Q2470236","display_name":"Profitability index","level":2,"score":0.49453017115592957},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.479455828666687},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.11176943778991699},{"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/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","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},{"id":"https://openalex.org/C43617362","wikidata":"https://www.wikidata.org/wiki/Q170050","display_name":"Chromatography","level":1,"score":0.0},{"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/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1080/1351847x.2018.1501402","doi":"https://doi.org/10.1080/1351847x.2018.1501402","is_oa":false,"landing_page_url":"https://doi.org/10.1080/1351847x.2018.1501402","pdf_url":null,"source":{"id":"https://openalex.org/S82316188","display_name":"European Journal of Finance","issn_l":"1351-847X","issn":["1351-847X","1466-4364"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The European Journal of Finance","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:taf:eurjfi:v:24:y:2018:i:17:p:1699-1726","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1080/1351847X.2018.1501402","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"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":53,"referenced_works":["https://openalex.org/W1576030382","https://openalex.org/W1587141723","https://openalex.org/W1769223717","https://openalex.org/W1891479151","https://openalex.org/W1938888929","https://openalex.org/W1963090364","https://openalex.org/W1972956294","https://openalex.org/W1977481888","https://openalex.org/W1977875768","https://openalex.org/W1994812492","https://openalex.org/W2012215390","https://openalex.org/W2033562162","https://openalex.org/W2034707435","https://openalex.org/W2045499120","https://openalex.org/W2056689906","https://openalex.org/W2058582790","https://openalex.org/W2083411195","https://openalex.org/W2083648255","https://openalex.org/W2097152622","https://openalex.org/W2105973145","https://openalex.org/W2109341760","https://openalex.org/W2110603299","https://openalex.org/W2124120883","https://openalex.org/W2127169188","https://openalex.org/W2131733003","https://openalex.org/W2139816392","https://openalex.org/W2140013551","https://openalex.org/W2145978621","https://openalex.org/W2153562738","https://openalex.org/W2155797117","https://openalex.org/W2160336835","https://openalex.org/W2161286290","https://openalex.org/W2172160388","https://openalex.org/W2322286309","https://openalex.org/W2525691608","https://openalex.org/W2569451820","https://openalex.org/W2606985126","https://openalex.org/W2759554277","https://openalex.org/W3022773787","https://openalex.org/W3121328583","https://openalex.org/W3121401171","https://openalex.org/W3121473119","https://openalex.org/W3121630491","https://openalex.org/W3121863370","https://openalex.org/W3122223557","https://openalex.org/W3122435882","https://openalex.org/W3122912258","https://openalex.org/W3122928995","https://openalex.org/W3123084053","https://openalex.org/W3123699647","https://openalex.org/W3123946376","https://openalex.org/W3124889478","https://openalex.org/W3125164852"],"related_works":["https://openalex.org/W2778404027","https://openalex.org/W7100228820","https://openalex.org/W1522918799","https://openalex.org/W1564319424","https://openalex.org/W4318383611","https://openalex.org/W1911099378","https://openalex.org/W2285676448","https://openalex.org/W7201925854","https://openalex.org/W2597942472","https://openalex.org/W3121328583"],"abstract_inverted_index":{"In":[0],"this":[1],"paper,":[2],"we":[3,53,63,114],"examine":[4],"the":[5,10,15,21,35,57,60,70,75,79,92,101,107,110,121,124],"existence":[6],"and":[7,23,105,126],"stability":[8,108],"of":[9,17,29,78,84,94,103,109,123],"long-run":[11],"equilibrium":[12],"relation":[13],"between":[14],"price":[16],"credit":[18],"risk":[19],"in":[20,59],"stock":[22,125],"CDS":[24,117,127],"markets":[25],"for":[26,56,74],"a":[27],"sample":[28,72],"non-financial":[30],"iTraxx":[31],"Europe":[32],"companies":[33,80],"during":[34],"2004\u20132017":[36],"period.":[37],"We":[38],"show":[39],"that":[40,91,116],"standard":[41],"cointegration":[42,68,104],"tests":[43],"with":[44],"no":[45],"breaks":[46,58],"frequently":[47],"fail":[48],"to":[49,66,87],"detect":[50,67],"cointegration.":[51,129],"Once":[52],"formally":[54],"account":[55],"cointegrating":[61,111],"vector,":[62],"are":[64],"able":[65],"over":[69],"entire":[71],"period":[73],"vast":[76],"majority":[77],"considered.":[81],"An":[82],"application":[83],"these":[85],"results":[86],"CDS-equity":[88],"trading":[89,96],"shows":[90],"profitability":[93],"traditional":[95],"strategies":[97],"crucially":[98],"depends":[99],"on":[100,106],"presence":[102],"vector.":[112],"Finally,":[113],"find":[115],"illiquidity":[118],"factors":[119],"decrease":[120],"likelihood":[122],"market":[128]},"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2018,"cited_by_count":1}],"updated_date":"2026-11-10T11:39:43.021295","created_date":"2018-08-03T00:00:00"}
