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Abstract
The article examines various liquidity measures across the corporate bond and credit default swap (CDS) markets. The results, from the factor decompositions for individual liquidity measures and across various measures, show a strong liquidity commonality across the bond and CDS markets. In addition, the article finds that the liquidity common factor has significant impact on the unexplained part of the credit spread changes by default risk factors.
TOPICS: Credit default swaps, fixed-income portfolio management, statistical methods
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