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Book: What Moves CDS Spreads?

TitleWhat Moves CDS Spreads?
Authors
KeywordsCredit default swaps
Fundamental determinants
Excess demand
Liquidity
Issue Date2012
PublisherSocial Science Electronic Publishing
Citation
Tang, Y & Yan, H. What Moves CDS Spreads?. Rochester, NY: Social Science Electronic Publishing. 2012 How to Cite?
AbstractWe study determinants of CDS spread changes between two consecutive trades. Using transactions data from 2002-2009, we find that changes in firm and market fundamentals are the most significant determinants of CDS spread changes, while excess demand for CDS contracts plays an important role. However, the effect of excess demand is transitory when it is not accompanied by tangible information flow. We find that the explainable portion of CDS spreads changes is high, as measured by adjusted R2 of about 40%, for trade-based price changes. The firm-level and market fundamental variables account for about two-thirds of the explained portion, while excess demand and liquidity variables account for another third.
Persistent Identifierhttp://hdl.handle.net/10722/141197
Series/Report no.Working paper series (University of Hong Kong. School of Economics and Finance)

 

DC FieldValueLanguage
dc.contributor.authorTang, Y-
dc.contributor.authorYan, H-
dc.date.accessioned2011-09-23T06:27:45Z-
dc.date.available2011-09-23T06:27:45Z-
dc.date.issued2012-
dc.identifier.citationTang, Y & Yan, H. What Moves CDS Spreads?. Rochester, NY: Social Science Electronic Publishing. 2012-
dc.identifier.urihttp://hdl.handle.net/10722/141197-
dc.description.abstractWe study determinants of CDS spread changes between two consecutive trades. Using transactions data from 2002-2009, we find that changes in firm and market fundamentals are the most significant determinants of CDS spread changes, while excess demand for CDS contracts plays an important role. However, the effect of excess demand is transitory when it is not accompanied by tangible information flow. We find that the explainable portion of CDS spreads changes is high, as measured by adjusted R2 of about 40%, for trade-based price changes. The firm-level and market fundamental variables account for about two-thirds of the explained portion, while excess demand and liquidity variables account for another third.-
dc.languageeng-
dc.publisherSocial Science Electronic Publishing-
dc.relation.ispartofseriesWorking paper series (University of Hong Kong. School of Economics and Finance)-
dc.subjectCredit default swaps-
dc.subjectFundamental determinants-
dc.subjectExcess demand-
dc.subjectLiquidity-
dc.titleWhat Moves CDS Spreads?-
dc.typeBook-
dc.identifier.emailTang, Y: yjtang@hku.hk-
dc.identifier.authorityTang, Y=rp01096-
dc.identifier.doi10.2139/ssrn.1786354-
dc.identifier.hkuros195860-
dc.identifier.spage1-
dc.identifier.epage45-
dc.publisher.placeRochester, NY-
dc.customcontrol.immutableyiu 150617-

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