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Are all Credit Default Swap databases equal?

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorMayordomo, Sergio
dc.contributor.authorPeña, Juan Ignacio
dc.contributor.authorSchwartz, Eduardo S.
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economía de la Empresa
dc.date.accessioned2010-11-23T11:54:36Z
dc.date.available2010-11-23T11:54:36Z
dc.date.issued2010-11
dc.description.abstractThe presence of different prices in different databases for the same securities can impair the comparability of research efforts and seriously damage the management decisions based upon such research. In this study we compare the six major sources of corporate Credit Default Swap prices: GFI, Fenics, Reuters EOD, CMA, Markit and JP Morgan, using the most liquid single name 5-year CDS of the components of the leading market indexes, iTraxx (European firms) and CDX (US firms) for the period from 2004 to 2010. We find systematic differences between the data sets implying that deviations from the common trend among prices in the different databases are not purely random but are explained by idiosyncratic factors as well as liquidity, global risk and other trading factors. The lower is the amount of transaction prices available the higher is the deviation among databases. Our results suggest that the CMA database quotes lead the price discovery process in comparison with the quotes provided by other databases. Several robustness tests confirm these results.
dc.format.mimetypeapplication/octet-stream
dc.format.mimetypeapplication/octet-stream
dc.format.mimetypeapplication/pdf
dc.identifier.repecwb104621
dc.identifier.urihttps://hdl.handle.net/10016/9704
dc.language.isoeng
dc.relation.hasversionhttp://e-archivo.uc3m.es/handle/10016/13889
dc.relation.ispartofseriesUC3M Working papers. Business Economics
dc.relation.ispartofseries10-21
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEmpresa
dc.subject.jelF33
dc.subject.jelG12
dc.subject.jelH63
dc.subject.otherCredit Default Swap prices
dc.subject.otherDatabases
dc.subject.otherLiquidity
dc.titleAre all Credit Default Swap databases equal?
dc.typeworking paper*
dspace.entity.typePublication
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