Liquidity and Credit Default Swap Spreads

By D. Tang, Hongjun Yan. 2007

242 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/cb9a38beab88bec3c5a571bd6c0a93065ae638ed

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Citations in the corpus

Market Conditions, Default Risk and Credit Spreads (2010, unknown): “Ericsson, Jocobs, and Oviedo (2007) and Tang and Yan (2007), among others, show that a large portion of CDS spreads can be directly attributed to credit risk.”
Option Market Liquidity: Commonality and Other Characteristics (2010, unknown): “Other studies that examine the general properties of liquidity for the derivatives market include (Vijh, 1990; Cho and Engle, 1999; Mayhew et al., 1999; Brenner et al., 2001; Kalodera and Schlag, 2004; Deuskar et al., 2008; Tang and Yan, 2008).”
What Determines Euro Area Bank CDS Spreads (2010, background): “On the one hand, Tang & Yan (2007) and Acharya & Johnson (2007), suggest that liquidity may also be an issue.”
Price Dispersion in OTC Markets: A New Measure of Liquidity (2011, background): “1Corresponding Author: Marti G. Subrahmanyam, New York University, Stern School of Business, 44 West Fourth Street, Room 9-68, New York, NY 10012, email: msubrahm@stern.nyu.edu, tel: +1 212 998 0348, fax: +1 212 995 4233 Price Dispersion in OTC Markets: A New Measure of Liquidity”
Decomposing European CDS Returns (2010, methodology): “To measure liquidity risk at the firm level, we follow Yan and Tang (2007) and, at week t, compute the average of the daily percentage CDS bid-ask spreads over the past month, BA(t).”
Sovereign CDS and bond pricing dynamics in emerging markets: Does the cheapest-to-deliver option matter? (2011, unknown): “However, Tang and Yan (2006) find evidence in a sample of U.S. corporate obligors that bond yields and CDS premiums incorporate illiquidity premiums of comparable magnitude.”
Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market (2011, unknown): “Two recent papers estimate the impact of liquidity on CDS spreads, Tang and Yan (2007) and Chen, Cheng and Wu (2005).”