Page 48 - 臺大管理論叢第32卷第1期
P. 48

Extracting Liquidity Risk Factors by Credit Default Swap Quotation and Corporate Bond Yield:
               An Experimental Investigation



               Huang, J. Z., and Huang, M. 2012. How much of the corporate-treasury yield spread is
                        due to credit risk?. The Review of Asset Pricing Studies, 2 (2): 153-202.
               Hull, J., Predescu M., and White, A. 2004. The relationship between credit default swap
                        spreads, bond yields, and credit rating announcements. Journal of Banking &
                        Finance, 28 (11): 2789-2811.

               Irresberger, F., Weiß, G. N. F., Gabrysch, J., and Gabrysch, S. 2018. Liquidity tail risk and
                        credit default swap spreads. European Journal of Operational Research, 269 (3):
                        1137-1153.
               Jankowitsch, R., Nagler, F., and Subrahmanyam, M. G. 2014. The determinants of
                        recovery rates in the US corporate bond market. Journal of Financial

                        Economics, 114 (1): 155-177.
               Jiang, W., Ou, J., and Zhu, Z. 2021. Mutual fund holdings of credit default swaps:
                        Liquidity, yield, and risk. The Journal of Finance, 76 (2): 537-586.
               Junge, B., and Trolle, A. B. 2015. Liquidity risk in credit default swap markets (Research
                        Paper No. 13-65). Swiss Finance Institute. https://doi.org/10.2139/ssrn.2371374

               Kamga, K., and Wilde, C. 2017. Liquidity premia in CDS markets (SAFE Working
                        Paper No. 173). Leibniz Institute for Financial Research SAFE. https://doi.
                        org/10.2139/ssrn.3005276
               Kim, K. 2017. Liquidity basis between credit default swaps and corporate bonds markets.
                        International Review of Economics & Finance, 48: 98-115.

               Lin, H., Liu, S., and Wu, C. 2011. Dissecting corporate bond and CDS spreads. The
                        Journal of Fixed Income, 20 (3): 7-39.
               Lin, J. C., Sanger, G., and Booth, G. G. 1995. Trade size and components of the bid-ask
                        spread. Review of Financial Studies, 8 (4): 1153-1183.
               Longstaff, F. A., Mithal, S., and Neis, E. 2005. Corporate yield spreads: Default risk

                        or liquidity? New evidence from the credit default swap market. Journal of
                        Finance, 60 (5): 2213-2253.
               Lovreta, L. 2016. Demand-supply imbalances in the credit default swap market: Empirical
                        evidence. The European Journal of Finance, 22 (1): 28-58.

               Mateev, M. 2019. Volatility relation between credit default swap and stock market: New
                        empirical tests. Journal of Economics and Finance, 43 (4): 681-712.
               Qiu, J., and Yu, F. 2012. Endogenous liquidity in credit derivatives. Journal of Financial




                                                      40
   43   44   45   46   47   48   49   50   51   52   53