This paper examines the effects of public news releases on the market liquidity in one of the most important OTC derivatives markets — the CDS market. We document that, at the time of news releases, the bid-ask spread is wider, the number of quotes is larger, and the number of dealers is...

By using LASSO to select among the 53 determinants of idiosyncratic volatility documented in the literature, we identify a component that is positively linked to future stock returns, in addition to the negative component that obscures the positive component. This positive component explains the...