Do CDS spreads move with commonality in liquidity?
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| 024 | 7 | 0 | |a 10.1007/s11147-015-9110-y |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s11147-015-9110-y | ||
| 245 | 0 | 0 | |a Do CDS spreads move with commonality in liquidity? |h [Elektronische Daten] |c [Christian Meine, Hendrik Supper, Gregor Weiß] |
| 520 | 3 | |a We show that commonality in liquidity is priced in both the cross-section and time-series of credit default swap (CDS) premia. Protection buyers earn a statistically significant and economically important discount for bearing the risk of individual CDS illiquidity co-moving with CDS market illiquidity. The pricing of commonality in CDS liquidity is different for calm and crisis periods as we find liquidity risk to be a priced factor in CDS spreads only during the recent financial crisis. Additionally, we find evidence that liquidity seems to be more important for the pricing of CDS than fundamentals from structural models of default risk. | |
| 540 | |a Springer Science+Business Media New York, 2015 | ||
| 690 | 7 | |a Credit default swaps |2 nationallicence | |
| 690 | 7 | |a Liquidity commonality |2 nationallicence | |
| 690 | 7 | |a Liquidity risk |2 nationallicence | |
| 700 | 1 | |a Meine |D Christian |u Ruhr-Universität Bochum, Universitätsstraße 150, 44780, Bochum, Germany |4 aut | |
| 700 | 1 | |a Supper |D Hendrik |u Technische Universität Dortmund, Otto-Hahn-Str. 6, 44227, Dortmund, Germany |4 aut | |
| 700 | 1 | |a Weiß |D Gregor |u Technische Universität Dortmund, Otto-Hahn-Str. 6, 44227, Dortmund, Germany |4 aut | |
| 773 | 0 | |t Review of Derivatives Research |d Springer US; http://www.springer-ny.com |g 18/3(2015-10-01), 225-261 |x 1380-6645 |q 18:3<225 |1 2015 |2 18 |o 11147 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s11147-015-9110-y |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s11147-015-9110-y |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Meine |D Christian |u Ruhr-Universität Bochum, Universitätsstraße 150, 44780, Bochum, Germany |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Supper |D Hendrik |u Technische Universität Dortmund, Otto-Hahn-Str. 6, 44227, Dortmund, Germany |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Weiß |D Gregor |u Technische Universität Dortmund, Otto-Hahn-Str. 6, 44227, Dortmund, Germany |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Review of Derivatives Research |d Springer US; http://www.springer-ny.com |g 18/3(2015-10-01), 225-261 |x 1380-6645 |q 18:3<225 |1 2015 |2 18 |o 11147 | ||