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In this paper we provide evidence that equity returns lead credit protection returns at daily and weekly frequencies, while credit protection returns do not lead equity returns. Our results indicate that informed traders are primarily active in the equity market rather than the CDS market. These findings are consistent with standard theories of market selection by informed traders in which market selection is determined partially by transaction costs. We also find that credit protection returns respond more quickly during salient news events (earnings announcement days) compared to days with similarly volatile equity returns. This evidence regarding the response of credit protection returns to news provides support for explanations related to investor inattention

Are Credit Default Swaps a Sideshow? Evidence That Information Flows from Equity to CDS Markets