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Are all Credit Default Swap Databases Equal?

Sergio Mayordomo (), Juan Ignacio Peña and Eduardo S. Schwartz

No 16590, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: The presence of different prices in different databases for the same securities can impair the comparability of research efforts and seriously damage the management decisions based upon such research. In this study we compare the six major sources of corporate Credit Default Swap prices: GFI, Fenics, Reuters EOD, CMA, Markit and JP Morgan, using the most liquid single name 5-year CDS of the components of the leading market indexes, iTraxx (European firms) and CDX (US firms) for the period from 2004 to 2010. We find systematic differences between the data sets implying that deviations from the common trend among prices in the different databases are not purely random but are explained by idiosyncratic factors as well as liquidity, global risk and other trading factors. The lower is the amount of transaction prices available the higher is the deviation among databases. Our results suggest that the CMA database quotes lead the price discovery process in comparison with the quotes provided by other databases. Several robustness tests confirm these results.

JEL-codes: F33 (search for similar items in EconPapers)
Date: 2010-12
New Economics Papers: this item is included in nep-ban
Note: AP
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Published as Are All Credit Default Swap Databases Equal? Sergio Mayordomo1, Juan Ignacio Peña2 andEduardo S. Schwartz3 European Financial Management Volume 20, Issue 4, pages 677–713, September 2014

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Journal Article: Are All Credit Default Swap Databases Equal? (2014) Downloads
Working Paper: Are all Credit Default Swap Databases Equal? (2010) Downloads
Working Paper: Are all Credit Default Swap databases equal? (2010) Downloads
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