Wojtowicz, Marcin - Tinbergen Instituut - 2014
We investigate the determinants of bid-ask spreads on corporate credit default swaps (CDSs). We find that proxies for … bid-ask spreads. We also analyze the influence of variables capturing systematic risk of reference entities, market … explanatory power is moderate. Finally, we demonstrate that CDS bid-ask spreads do not widen preceding earnings announcement …