This paper studies the main effects of the short sales ban implemented in August 2011 in the Spanish stock market along two dimensions: financial stability and market performance. Regarding the first, we show that short positions were a significant determinant of the probability of default of...

The presence of different prices in different databases for the same securities can impair the comparability of research efforts and seriously damage the management decisions based upon such research. In this study we compare the six major sources of corporate Credit Default Swap prices: GFI,...

The presence of different prices in different databases for the same securities can impair the comparability of research efforts and seriously damage the management decisions based upon such research. In this study we compare the six major sources of corporate Credit Default Swap prices: GFI,...

This article provides new evidence on the dynamic dependences of European corporate credit spread in three markets: bond, Credit Default Swap (CDS) and Asset Swap (ASP). Using daily data from 2005 to 2011, we find that credit spread returns are primarily driven by innovations. The intra-market...

We examine the effect of the short-selling ban in 2011 on Spanish stocks on the level of risk in the banking sector. Before the ban, short positions were found to be positive and significantly related to the creditworthiness of medium-sized banks, these being generally less internationally...

This study presents robust empirical evidence suggesting the existence of significant liquidity commonalities in the corporate Credit Default Swap (CDS) market. Using daily data for 401 firms from 24 countries in the period 2005–2012 we find that these commonalities vary over time, being...

We analyse the extent to which prices in the sovereign credit default swap (CDS) and bond markets reflect the same information on credit risk in the context of the current crisis of the European Monetary Union (EMU). We first document that deviations between CDS and bond spreads are related to...

This paper studies the impact of the banks’ portfolio holdings of financial derivatives on the banks’ individual contribution to systemic risk over and above the effect of variables related to size, interconnectedness, substitutability, and other balance sheet information. Using a sample of...

<title>Abstract</title> This empirical paper analyzes the effect of trademark activity on the market value and performance of US commercial banks from two perspectives. First, a longterm perspective considers the effect of such activity on banks’ Tobin's <italic>q</italic>. Second, with a short-term perspective, the authors...

This paper analyses the role of liquidity in the price discovery process. Specifically, we focus on the credit derivatives markets in the context of the subprime crisis. We present a theoretical price discovery model for the asset swap packages (ASPs), bond and credit default swap (CDS) markets...