Footnote:
In: Journal of Applied Finance (Formerly Financial Practice and Education), Vol. 22, No. 1, 2012
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 12, 2015 erstellt
Description:
This paper adds to the literature on the financial markets' reaction to government interventions during the 2007-2009 financial crisis by analyzing the response of US firms' credit default swap spreads to key government actions. We find that the government measures taken to stabilize both the financial sector and the overall economy were generally well-received by credit default swap (CDS) market participants, reducing perceived credit risk across a broad cross-section of firms. Financial firms responded most favorably to financial sector policies and interest rate cuts, with announcement date abnormal CDS spread changes of -5 and -2 percent, respectively. Non-financial firms responded most favorably to conventional fiscal and monetary policy tools with spread reductions of approximately one percent upon announcement of these measures