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Liquidity and Credit Default Swap Spreads · Study

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PreprintLiquidity and Credit Default Swap Spreads

Dragon Yongjun Tang2007

OA

Preprintgreen2007

Liquidity and Credit Default Swap Spreads

Dragon Yongjun Tang · Hong Yan

79 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*2003Liquidity Risk and Expected Stock Returns 1986Asset pricing and the bid-ask spread 2002Testing Trade-Off and Pecking Order Predictions About Dividends and Debt 1991Inferring Trade Direction from Intraday Data 1988A Theory of Intraday Patterns: Volume and Price Variability 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory 2005Asset pricing with liquidity risk

Cited by

2013Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach 2010The Economic Role of Jumps and Recovery Rates \nin the Market for Corporate Default Risk 2013What drives corporate default risk premia? Evidence from the CDS market 2012Explaining aggregate credit default swap spreads 2011On Pricing Credit Default Swaps with Observable Covariates 2020

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2008Liquidity and Credit Default Swap Spreadspreprint · 36 shared references 2014Credit Default Swaps: A Surveyarticle · 18 shared references 2014The Empirical Analysis of Liquidityarticle · 18 shared references 2012What determines Euro area bank CDS spreads?article · 16 shared references 2016Effects of Liquidity on the Non-Default Component of Corporate Yield Spreads: Evidence from Intraday Transactions Dataarticle · 16 shared references 2019Specification Analysis of Structural Credit Risk Modelsarticle · 14 shared references

Details

Year2007

Typepreprint

Published2007-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations79

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.1008325

openalex_workW4237227268

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Funding liquidity shocks in a quasi-experiment: Evidence from the CDS Big Bang

2009Predicting credit spreads

2017Relation between Credit Default Swap Spreads and Stock Prices: A Non-linear Perspective