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Liquidity risk in credit default swap markets
Junge, Benjamin; Trolle, Anders B. - 2013
We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS … constituents' CDS spreads, and we construct a tradable liquidity factor from returns on index arbitrage strategies. CDS contracts … CDS spreads; on average, liquidity risk accounts for 24% of CDS spreads. Consistent with recent models of intermediary …
Persistent link: https://www.econbiz.de/10010258589
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Liquidity in the foreign exchange market : measurement, commonality, and risk premiums
Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan - 2009
Using a novel and comprehensive dataset, we provide the first systematic study of liquidity in the foreign exchange (FX) market. Contrary to common perceptions, we find significant variation in liquidity across exchange rates, substantial costs due to FX illiquidity, and strong commonality in...
Persistent link: https://www.econbiz.de/10003971293
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True cost of immediacy
Hendershott, Terrence; Li, Dan; Livdan, Dmitry; … - 2020
Traditional liquidity measures can provide a false impression of the liquidity and stability of financial market trading. Using data on auctions (bids wanted in competition; BWICs) from the collateralized loan obligation (CLO) market, we show that a standard measure of liquidity, the effective...
Persistent link: https://www.econbiz.de/10012271211
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Municipal bond markets
Cestau, Dario; Hollifield, Burton; Li, Dan; Schürhoff, … - 2018
The effective functioning of the municipal bond market is crucial for the provision of public services, as it is the largest capital market for state and municipal issuers. Prior research has documented tax, credit, liquidity, and segmentation effects in municipal bonds. Recent regulatory...
Persistent link: https://www.econbiz.de/10011938223
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Foreign acquisition and credit risk : evidence from the U.S. CDS market
Yilmaz, Umit - 2016 - This draft: May 31, 2016
captured by their CDS. The involvement of foreign investors leads to a significant increase in the target firms' CDS spreads …
Persistent link: https://www.econbiz.de/10011519062
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Does monetary policy impact market integration? : evidence from developed and emerging markets
Caporin, Massimiliano; Pelizzon, Loriana; Plazzi, Alberto - 2017
-section of equity and particularly sovereign CDS market. The effect is strongest for emerging markets, when the FED relaxes …
Persistent link: https://www.econbiz.de/10011874674
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How does sovereign bond market integration relate to fundamentals and CDS spreads?
Chaieb, Ines; Errunza, Vihang R.; Gibson, Rajna - 2016
We find that the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries is significantly heterogeneous. We show that better spanning can significantly enhance market integration through dissipating local risk premiums. Integration of the sovereign...
Persistent link: https://www.econbiz.de/10011618981
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CDS central counterparty clearing default measures : road to recovery or invitation to predation?
Tywoniuk, Magdalena - 2020
Following the 2008 financial crisis, regulation mandates the clearing of the CDS market through Central Clearing …-mediated contagion and its amplification. A novel spatial measure captures the covariance between members' CDS holdings and the CDS being … unwound. Key results show: Liquidations by constrained members lower the CCP's profits and make cds-spreads less informative …
Persistent link: https://www.econbiz.de/10012419635
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Market discipline through credit ratings and too-big-to-fail in banking?
Kolaric, Sascha; Kiesel, Florian; Ongena, Steven - 2017
, are associated with a significant CDS spread widening. However, this widening only occurs for banks that are not perceived …
Persistent link: https://www.econbiz.de/10011627047
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CDS central counterparty clearing liquidation : road to recovery or invitation to predation?
Tywoniuk, Magdalena - 2017
Recent regulation mandating the clearing of credit default swaps (CDS) by a Central Clearing Counterparties (CCP), has …
Persistent link: https://www.econbiz.de/10011870658