Imperial College London
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DrLaraCathcart

Business School

Associate Professor of Finance
 
 
 
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Contact

 

+44 (0)20 7594 9126l.cathcart

 
 
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Location

 

3.0953 Prince's GateSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Cathcart:2019:10.1016/j.finmar.2018.10.002,
author = {Cathcart, L and El-Jahel, L and Evans, L and Shi, Y},
doi = {10.1016/j.finmar.2018.10.002},
journal = {Journal of Financial Markets},
pages = {96--120},
title = {Excess comovement in credit default swap markets: Evidence from the CDX indices},
url = {http://dx.doi.org/10.1016/j.finmar.2018.10.002},
volume = {43},
year = {2019}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - We provide evidence of excess comovement in the credit default swap (CDS) market following inclusions to and exclusions from investment grade and high yield CDX indices during the 2003–2016 period. We find that when a name joins an index, its return tends to covary more with the returns of that index and conversely when it is excluded from an index, its return tends to covary less with it. We use univariate regressions and a difference-in-difference approach to show that the CDS market is impacted by indexation. This excess comovement indicates a departure from fundamental-based pricing and provides support in favour of style investing.
AU  - Cathcart,L
AU  - El-Jahel,L
AU  - Evans,L
AU  - Shi,Y
DO  - 10.1016/j.finmar.2018.10.002
EP  - 120
PY  - 2019///
SN  - 1386-4181
SP  - 96
TI  - Excess comovement in credit default swap markets: Evidence from the CDX indices
T2  - Journal of Financial Markets
UR  - http://dx.doi.org/10.1016/j.finmar.2018.10.002
UR  - http://hdl.handle.net/10044/1/65310
VL  - 43
ER  -
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