This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during … changes. The dominance of liquidity effects casts serious doubts on the relevance of CDS price changes as an indicator of … normal and crisis periods. We find that liquidity risk is more important than firm-specific credit risk regardless of market …

market efficiency, price discovery, information flow, and liquidity. Attention is also paid to the CDS-bond basis, the wedge …, including bond issuance, capital structure, liquidity management, and corporate governance. The sixth section analyzes how CDS …Credit default swaps (CDS) have been growing in importance in the global financial markets. However, their role has …

This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during … dominance of liquidity effects casts serious doubts on the relevance of CDS price changes as an indicator of default risk … normal and crisis periods. We find that liquidity risk is more important than credit risk regardless of market conditions …

We examine the cost of liquidity in rates on CDs purchased by money market funds (MMFs). We find no evidence that rates … vary directly with the size of CDs. However, we do find that large MMFs receive higher rates on large CDs than small MMFs …. This suggests banks pay for (potential) liquidity. …