G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8456
DP8456 CDS Auctions
Igor Makarov; Mikhail Chernov; Alexander Gorbenko
发表日期2011-06-01
出版年2011
语种英语
摘要We analyze credit default swap settlement auctions theoretically and evaluate them empirically. In our theoretical analysis, we show that the current auction design may not result in the fair bond price and suggest modifications to the auction design to minimize mispricing. In our empirical study, we find support for our theoretical predictions. We show that an auction undervalues bonds by 10\%, on average, on the day of the auction and link this undervaluation to the number of bonds that are exchanged during the auction. We also document a V-shaped pattern in underpricing during the days surrounding the auction: in the days leading up to the auction, the extent to which bonds are underpriced declines, while after the auction, the extent to which they are underpriced increases, with the smallest underpricing coming on the day of the auction.
主题Financial Economics
关键词Auctions Credit default swaps Mispricing Open interest Settlement
URLhttps://cepr.org/publications/dp8456
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/537284
推荐引用方式
GB/T 7714
Igor Makarov,Mikhail Chernov,Alexander Gorbenko. DP8456 CDS Auctions. 2011.
条目包含的文件
条目无相关文件。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Igor Makarov]的文章
[Mikhail Chernov]的文章
[Alexander Gorbenko]的文章
百度学术
百度学术中相似的文章
[Igor Makarov]的文章
[Mikhail Chernov]的文章
[Alexander Gorbenko]的文章
必应学术
必应学术中相似的文章
[Igor Makarov]的文章
[Mikhail Chernov]的文章
[Alexander Gorbenko]的文章
相关权益政策
暂无数据
收藏/分享

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。