The reaction of emerging market credit default swap spreads to sovereign credit rating changes

On crises, contagion, and confusion

Graciela Kaminsky, Carmen Reinhart · Journal of International Economics · 2000 · 1.2K citations

Shock (Economics), Financial Crisis, International Financial Crisis +1

The relationship between credit default swap spreads, bond yields, and credit rating announcements

John Hull, Mirela Predescu, Alan White · Journal of Banking & Finance · 2004 · 1K citations

Term Structure Model, Financial Economics, Accounting +9

The Effect of Bond Rating Agency Announcements on Bond and Stock Prices

John R. M. Hand, Robert W. Holthausen, Richard Leftwich · The Journal of Finance · 1992 · 993 citations

Empirical Finance, Economics, Financial Economics +15

Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements

Lars Nordén, Martin Weber · Journal of Banking & Finance · 2004 · 673 citations

Empirical Finance, Market Microstructure, Economics +10

The Determinants of Credit Spread Changes

Pierre Collin‐Dufresne · SSRN Electronic Journal · 2000 · 610 citations · Full text