Gehde-Trapp, Monika, Guenduez, Yalin and Nasev, Julia (2015). The liquidity premium in CDS transaction prices: Do frictions matter? J. Bank Financ., 61. S. 184 - 206. AMSTERDAM: ELSEVIER. ISSN 1872-6372
Full text not available from this repository.Abstract
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. (C) 2015 Elsevier B.V. All rights reserved.
Item Type: | Journal Article | ||||||||||||||||
Creators: |
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URN: | urn:nbn:de:hbz:38-384505 | ||||||||||||||||
DOI: | 10.1016/j.jbankfin.2015.08.024 | ||||||||||||||||
Journal or Publication Title: | J. Bank Financ. | ||||||||||||||||
Volume: | 61 | ||||||||||||||||
Page Range: | S. 184 - 206 | ||||||||||||||||
Date: | 2015 | ||||||||||||||||
Publisher: | ELSEVIER | ||||||||||||||||
Place of Publication: | AMSTERDAM | ||||||||||||||||
ISSN: | 1872-6372 | ||||||||||||||||
Language: | English | ||||||||||||||||
Faculty: | Unspecified | ||||||||||||||||
Divisions: | Unspecified | ||||||||||||||||
Subjects: | no entry | ||||||||||||||||
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URI: | http://kups.ub.uni-koeln.de/id/eprint/38450 |
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