Related Securities and Equity Market Quality: The Case of CDS

We document that equity markets become less liquid and equity prices become less efficient when markets for single-name credit default swap (CDS) contracts emerge. This finding is robust across a variety of market quality measures. We analyze the potential mechanisms driving this result and find evi...

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Bibliographic Details
Main Authors: Ekkehart BOEHMER, CHAVA, Sudheer, TOOKES, Heather
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2015
Subjects:
CDS
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/4788
https://ink.library.smu.edu.sg/context/lkcsb_research/article/5787/viewcontent/RelatedSecuritiesEquityMarketQuality_afv.pdf
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Institution: Singapore Management University
Language: English