Explaining co-movements between equity and CDS bid-ask spreads
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DOI: 10.1007/s11156-016-0609-6
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- Marra, Miriam & Yu, Fan & Zhu, Lu, 2019. "The impact of trade reporting and central clearing on CDS price informativeness," Journal of Financial Stability, Elsevier, vol. 43(C), pages 130-145.
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More about this item
Keywords
Credit default swap; Bid-ask spread co-movement; Funding costs; Systematic risk; Hedging; Capital structure arbitrage;All these keywords.
JEL classification:
- G1 - Financial Economics - - General Financial Markets
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G19 - Financial Economics - - General Financial Markets - - - Other
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