Do CDS spreads move with commonality in liquidity?

Acharya, V. V., & Pedersen, L. H. (2005). Asset pricing with liquidity risk. Journal of Financial Economics, 77, 375–410.

Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets, 5, 31–56.

Arakelyan, A., Rubio, G., & Serrano, P. (2013). Market-wide liquidity in credit default swap spreads. Working Paper.

Bekaert, G., Harvey, C. R., & Lundblad, C. T. (2007). Liquidity and expected returns: Lessons from emerging markets. Review of Financial Studies, 20, 1783–1831.

Blanco, R., Brennan, S., & Marsh, I. W. (2005). An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps. Journal of Finance, 60, 2255–2281.

Boehmer, E., Chava, S., & Tookes, H. E. (2014). Related securities and equity market quality: The case of CDS. Journal of Financial and Quantitative Analysis (forthcoming).

Bongaerts, D., De Jong, F., & Driessen, J. (2011). Derivative pricing with liquidity risk: Theory and evidence from the credit default swap market. Journal of Finance, 66, 203–240.

Bongaerts, D., de Jong, F., & Driessen, J. (2012). An asset pricing approach to liquidity effects in corporate bond markets. Working paper.

Christoffersen, P., Jacobs, K., Jin, X., & Langlois, H. (2013). Dynamic dependence in corporate credit. Working paper.

Chordia, T., Roll, R., & Subrahmanyam, A. (2000). Commonality in liquidity. Journal of Financial Economics, 56, 3–28.

Collin-Dufresne, P., Goldstein, R. S., & Martin, J. S. (2001). The determinants of credit spread changes. Journal of Finance, 56(6), 2177–2207.

Corò, F., Dufour, A., & Varotto, S. (2013). Credit and liquidity components of corporate CDS spreads. Journal of Banking and Finance, 37, 5511–5525.

Deuskar, P., Gupta, A., & Subrahmanyam, M. G. (2011). Liquidity effects in OTC options markets: Premium or discount? Journal of Financial Markets, 14, 127–160.

Ericsson, J., Jacobs, K., & Oviedo, R. (2009). The determinants of credit default swap premia. Journal of Financial and Quantitative Analysis, 44(1), 109–132.

Fontana, A., & Scheicher, M. (2010). An analysis of euro area sovereign CDS and their relation with government bonds. ECB working paper no. 1271.

Junge, B., & Trolle, A. (2014). Liquidity risk in credit default swap markets. Working paper.

Karolyi, A., Lee, K.-H., & Van Dijk, M. (2012). Understanding commonality in liquidity around the world. Journal of Financial Economics, 105, 82–112.

Lesmond, D. A., Ogden, J. P., & Trzcinka, C. A. (1999). A new estimate of transaction costs. Review of Financial Studies, 12, 1113–1141.

Lesplingart, C., Majois, C., & Petitjean, M. (2012). Liquidity and CDS premiums on European companies around the subprime crisis. Review of Derivatives Research, 15, 257–281.

Lin, H., Wang, J., & Wu, C. (2011). Liquidity risk and expected corporate bond returns. Journal of Financial Economics, 99, 628–650.

Longstaff, F. A., Mithal, S., & 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.

Mayordomo, S., & Peña, J. I. (2014). An empirical analysis of the dynamic dependencies in the European corporate credit markets: Bonds vs. credit derivatives. Applied Financial Economics. 24, 605–619.

Mayordomo, S., Peña, J. I., & Schwartz, E. S. (2013). Are all credit default swap databases equal? European Financial Management. 20(4), 677–713.

Mayordomo, S., Rodriguez-Moreno, M., & Peña, J. I. (2014). Liquidity commonalities in the corporate CDS market around the 2007–2012 financial crisis. International Review of Economics and Finance, 31, 171–192.

Meine, C., Supper, H., & Weiß, G. (2015). Is tail risk priced in credit default swap premia? Review of Finance (forthcoming). doi: 10.1093/rof/rfv008 .

Merton, R. C. (1974). On the pricing of corporate debt: The risk structure of interest rates. Journal of Finance, 29, 449–479.

Pástor, L., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111, 642–685.

Petersen, M. A. (2009). Estimating standard errors in finance panel data sets: Comparing approaches. Review of Financial Studies, 22, 435–480.

Pu, X. (2009). Liquidity commonality across the bond and CDS markets. Journal of Fixed Income, 19(1), 26–39.

Ruenzi, S., Ungeheuer, M., & Weigert, F. (2013). Extreme downside liquidity risk. Working paper.

Tang, D. Y., & Yan, H. (2008). Liquidity and credit default swap spreads. Working paper.

Tang, D. Y., & Yan, H. (2013). What moves CDS spreads? Working paper.

Zhang, B., Zhou, H., & Zhu, H. (2009). Explaining credit default swap spreads with the equity volatility and jump risks of individual firms. Review of Financial Studies, 22, 5099–5131.