Are all Credit Default Swap databases equal?

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dc.contributor.author Mayordomo, Sergio
dc.contributor.author Peña Sánchez de Rivera, Juan Ignacio
dc.contributor.author Schwartz, Eduardo S.
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
dc.date.accessioned 2010-11-23T11:54:36Z
dc.date.available 2010-11-23T11:54:36Z
dc.date.issued 2010-11
dc.identifier.uri http://hdl.handle.net/10016/9704
dc.description.abstract The 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.mimetype application/octet-stream
dc.format.mimetype application/octet-stream
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Business Economics
dc.relation.ispartofseries 10-21
dc.relation.hasversion http://e-archivo.uc3m.es/handle/10016/13889
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Credit Default Swap prices
dc.subject.other Databases
dc.subject.other Liquidity
dc.title Are all Credit Default Swap databases equal?
dc.type workingPaper
dc.subject.jel F33
dc.subject.jel G12
dc.subject.jel H63
dc.subject.eciencia Empresa
dc.rights.accessRights openAccess
dc.identifier.repec wb104621
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