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• W2182134009 abstract "This paper analyzes the importance of market-wide illiquidity in the credit default swap (CDS) market by examining the changes in CDS spreads of credit quality portfolios for five alternative maturities. We document that aggregate liquidity is a pricing factor in CDS spreads. The illiquidity CDS betas across all credit quality portfolios and maturities are positive and statistically significant. Low credit rating CDS spreads are highly sensitive to aggregate illiquidity shocks relative to high credit quality CDS spreads. Using a two-factor intensity model, we also document a significant illiquidity risk premium embedded in the CDS term structure, especially for high-yield portfolios." @default.
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• W2182134009 date "2013-01-01" @default.
• W2182134009 modified "2023-09-24" @default.
• W2182134009 title "Market-Wide Liquidity in Credit Default Swap Spreads" @default.
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