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The Persistent Negative Cds-Bond Basis during the 2007/08 Financial Crisis
15 references·2 citing·43 second hop
The Persistent Negative Cds-Bond Basis during the 2007/08 Financial Crisis (2010)The Persistent Negative Cds-Bond Basis du…Margin-based Asset Pricing and Deviations from the Law of One Price (2011)Margin-based Asset Pricing an…Deciphering the Liquidity and Credit Crunch 2007-08 (2008)Deciphering the Liquidity and…Exploring the CDS-Bond Basis (2006)Exploring the CDS-Bond BasisAn Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market (2006)An Empirical Comparison of Cr…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)An Empirical Analysis of the …Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…Credit Swap Valuation (1999)Credit Swap ValuationCredit Swap Valuation (1998)Credit Swap ValuationCointegration tests with conditional heteroskedasticity (1996)Cointegration tests with cond…Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Estimation of Common Long-Mem…Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets (1995)Arbitrage, Cointegration, and…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…CDS-bond basis and bond return predictability (2016)CDS-bond basis and bond retur…Investigating the Impact of Sovereign Interest Rates on Corporate Borrowing Costs in the Euro Area (2011)Investigating the Impact of S…Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A PANIC Attack on Unit Roots and Cointegration (2004)Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption (2004)Realized Variance and Market Microstructure Noise (2006)Asset pricing and the bid-ask spread (1986)The Limits of Arbitrage (1995)Credit Cycles (1997)Limits of Arbitrage (2010)Evaporating Liquidity (2012)Financial Intermediation, International Risk Sharing, and Reserve Currencies (2017)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Liquidity Risk and Expected Stock Returns (2003)Forecasting Default with the Merton Distance to Default Model (2008)The Aggregate Demand for Treasury Debt (2012)The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Modeling Term Structures of Defaultable Bonds (1999)Credit Risk Modeling (2004)Stochastic Integration and Differential Equations (2005)A framework for assessing the systemic risk of major financial institutions (2009)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity and leverage (2008)Market Liquidity and Funding Liquidity (2008)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Equity Volatility and Corporate Bond Yields (2003)Corporate Yield Spreads and Bond Liquidity (2007)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)The Pricing of Options and Corporate Liabilities (1973)Prospect Theory and Asset Prices (2001)Credit Spreads and Business Cycle Fluctuations (2012)Bounds testing approaches to the analysis of level relationships (2001)How Profitable Is Capital Structure Arbitrage? (2006)The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis (2009)Are green bonds priced differently from conventional bonds? (2018)Insider trading in credit derivatives☆ (2007)A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk (2014)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,313 cited
  • 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps1,166 cited
  • 2011Margin-based Asset Pricing and Deviations from the Law of One Price653 cited
  • 1999Credit Swap Valuation636 cited
  • 2006An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market540 cited
  • 2008Deciphering the Liquidity and Credit Crunch 2007-08344 cited
  • 1995Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets315 cited
  • 1996Cointegration tests with conditional heteroskedasticity130 cited
  • 1998Credit Swap Valuation122 cited
  • 2006Exploring the CDS-Bond Basis84 cited

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Cited by

  • 2016CDS-bond basis and bond return predictability22 cited
  • 2011Investigating the Impact of Sovereign Interest Rates on Corporate Borrowing Costs in the Euro Area21 cited