Hedging Credit: Equity liquidity matters

被引：39

作者：

Das, Sanjiv R. ^{[1
]}

Hanouna, Paul ^{[2
]}

机构：

[1] Santa Clara Univ, Leavey Sch Business, Santa Clara, CA 95053 USA

[2] Villanova Univ, Villanova Sch Business, Villanova, PA 19085 USA

来源：

JOURNAL OF FINANCIAL INTERMEDIATION | 2009年 / 18卷 / 01期

关键词：

Credit default swap; Basis; Liquidity; CORPORATE YIELD SPREADS; STOCK RETURNS; DEFAULT RISK; COSTS; MARKET; DEBT;

D O I：

10.1016/j.jfi.2008.08.005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We theorize and confirm a new channel by means of which liquidity costs are embedded in CDS spreads. We show that credit default swap (CDS) spreads are directly related to equity market liquidity in the Merton [Merton, R.C., 1974. On the pricing of corporate debt: The risk structure of interest rates. J. Finance 29, 449-470] model via hedging. We confirm this relationship empirically using a sample of 1452 quarterly CDS spreads over 2001-2005. In the model, this relationship is monotone increasing when credit quality worsens. These results are robust to alternative measures of equity liquidity and other possible determinants of CDS spreads. (C) 2008 Elsevier Inc. All rights reserved.

引用

页码：112 / 123

页数：12

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