Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/114467 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
CFR Working Paper No. 12-12 [rev.2]
Verlag: 
University of Cologne, Centre for Financial Research (CFR), Cologne
Zusammenfassung: 
Based on individual CDS transactions cleared by the Depository Trust & Clearing Corporation, we show that illiquidity strongly affects credit default swap premiums. We identify the following effects: First, transaction direction affects prices, as buy (sell) orders lead to premium increases (decreases). Second, larger transactions have a higher price impact. This finding stands in stark contrast to corporate bond markets. Third, traders charge higher premiums as a price for liquidity provision, not as compensation for asymmetric information. Fourth, buyside investors pay significantly higher prices than dealers for demanding liquidity. Last, inventory risk seems to matter little in explaining liquidity premiums.
Schlagwörter: 
CDS
illiquidity
temporary price impact
market power
immediacy
DTCC
JEL: 
G12
G14
Dokumentart: 
Working Paper

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