The impact of trade reporting and central clearing on CDS price informativeness
We find that the magnitude of unique credit default swap (CDS) market information (constructed to be orthogonal to contemporaneous and lagged stock returns) declined after recent reforms that increased the level of post-trade regulatory and market transparency for CDSs. Around the same reforms, the...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier B.V.
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |