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This paper examines the efficiency of the CDS market by conducting a comparative event study in which both the CDS and the stock markets" responses to earnings announcements are considered. The author finds that both markets have statistically significant reactions to earnings announcements and both markets anticipate these informational events up to 90 trading days prior to announcement. The author further finds that neither markets? reaction to earnings announcements is entirely efficient as there is evidence of both over- and under-reaction to earnings news. However, results are sensitive to both the categorization of earnings and the model used to generate abnormal performance.
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