کد مقاله کد نشریه سال انتشار مقاله انگلیسی ترجمه فارسی نسخه تمام متن
5088492 1478314 2015 22 صفحه PDF سفارش دهید دانلود کنید
عنوان انگلیسی مقاله ISI
The liquidity premium in CDS transaction prices: Do frictions matter?
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
The liquidity premium in CDS transaction prices: Do frictions matter?
چکیده انگلیسی


- We use a proprietary set of individual CDS transactions.
- We show that CDS prices contain sizeable, counterparty-specific liquidity premiums.
- We attribute the liquidity premium to specific market frictions.
- Asymmetric information does not play a role.
- Buy-side investors pay a significantly higher price for liquidity than dealers.

Based on individual CDS transactions cleared by the Depository Trust & Clearing Corporation, we show that illiquidity strongly affects credit default swap premiums. We identify the following effects: first, transaction direction affects prices, as buy (sell) orders lead to premium increases (decreases). Second, larger transactions have a higher price impact. This finding stands in stark contrast to corporate bond markets. Third, traders charge higher premiums as a price for liquidity provision, not as compensation for asymmetric information. Fourth, buy-side investors pay significantly higher prices than dealers for demanding liquidity. Finally, inventory risk seems to matter little in explaining liquidity premiums.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 61, December 2015, Pages 184-205
نویسندگان
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