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 … with higher liquidity exposures have higher expected excess returns for sellers of credit protection and trade with wider …

The first chapter, which is joint work with Anders B. Trolle, analyzes whether liquidity risk is priced in the cross … section of returns on credit default swaps (CDSs). The analysis is based on a factor pricing model and a tradable liquidity … intermediaries and, in broad terms, CDS market illiquidity. The analysis reveals priced liquidity risk in that credit protection …

The third chapter documents a decline of transaction costs and profits from liquidity provision in the index CDS market … liquidity provision declined around the introduction of so-called swap execution facilities (SEFs); i.e., regulated trading … costs and are less profitable from a liquidity provider’s perspective in comparison to bilaterally negotiated trades, which …