caa a22 4500 605451109 CHVBK 20210128100150.0 cr unu---uuuuu 210128e20151001xx s 000 0 eng 10.1007/s11147-015-9110-y doi (NATIONALLICENCE)springer-10.1007/s11147-015-9110-y Do CDS spreads move with commonality in liquidity? [Elektronische Daten] [Christian Meine, Hendrik Supper, Gregor Weiß] 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. Springer Science+Business Media New York, 2015 Credit default swaps nationallicence Liquidity commonality nationallicence Liquidity risk nationallicence Meine Christian Ruhr-Universität Bochum, Universitätsstraße 150, 44780, Bochum, Germany aut Supper Hendrik Technische Universität Dortmund, Otto-Hahn-Str. 6, 44227, Dortmund, Germany aut Weiß Gregor Technische Universität Dortmund, Otto-Hahn-Str. 6, 44227, Dortmund, Germany aut Review of Derivatives Research Springer US; http://www.springer-ny.com 18/3(2015-10-01), 225-261 1380-6645 18:3<225 2015 18 11147 https://doi.org/10.1007/s11147-015-9110-y text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s11147-015-9110-y text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Meine Christian Ruhr-Universität Bochum, Universitätsstraße 150, 44780, Bochum, Germany aut NATIONALLICENCE 700 1- Supper Hendrik Technische Universität Dortmund, Otto-Hahn-Str. 6, 44227, Dortmund, Germany aut NATIONALLICENCE 700 1- Weiß Gregor Technische Universität Dortmund, Otto-Hahn-Str. 6, 44227, Dortmund, Germany aut NATIONALLICENCE 773 0- Review of Derivatives Research Springer US; http://www.springer-ny.com 18/3(2015-10-01), 225-261 1380-6645 18:3<225 2015 18 11147