An empirical study on the decoupling movements between corporate bond and CDS spreads
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- Kim, Gi H. & Li, Haitao & Zhang, Weina, 2016. "CDS-bond basis and bond return predictability," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 307-337.
- repec:wly:jfutmk:v:37:y:2017:i:8:p:836-861 is not listed on IDEAS
- Corò, Filippo & Dufour, Alfonso & Varotto, Simone, 2013. "Credit and liquidity components of corporate CDS spreads," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5511-5525.
- Arce, Oscar & Mayordomo, Sergio & Peña, Juan Ignacio, 2013.
"Credit-risk valuation in the sovereign CDS and bonds markets: Evidence from the euro area crisis,"
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- Ã“scar Arce & Sergio Mayordomo & Juan Ignacio PeÃ±a, 2012. "Credit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisis," Faculty Working Papers 22/12, School of Economics and Business Administration, University of Navarra.
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- Bhanot, Karan & Burns, Natasha & Hunter, Delroy & Williams, Michael, 2014. "News spillovers from the Greek debt crisis: Impact on the Eurozone financial sector," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 51-63.
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- Gi H. Kim & Haitao Li & Weina Zhang, 2017.
"The CDS‐Bond Basis Arbitrage and the Cross Section of Corporate Bond Returns,"
Journal of Futures Markets,
John Wiley & Sons, Ltd., vol. 37(8), pages 836-861, August.
- : Haitao Li & Weina Zhang & Gi H. Kim, 2011. "The CDS-Bond Basis Arbitrage and the Cross Section of Corporate Bond Returns," Working Papers wpn11-04, Warwick Business School, Finance Group.
- Luciana Barbosa & Sónia Costa, 2010. "Determinants of sovereign bond yield spreads in the euro area in," Working Papers w201022, Banco de Portugal, Economics and Research Department.
More about this item
Keywordscorporate bond spreads; Credit Default Swap Spreads; liquidity;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-11 (All new papers)
- NEP-BEC-2009-09-11 (Business Economics)
- NEP-EEC-2009-09-11 (European Economics)
- NEP-MST-2009-09-11 (Market Microstructure)
- NEP-RMG-2009-09-11 (Risk Management)
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