Does banks’ size distort market prices?Evidence for too-big-to-fail in the CDS market
Year of publication: |
2009-03-24
|
---|---|
Authors: | Völz, Manja ; Wedow, Michael |
Institutions: | Volkswirtschaftliches Forschungszentrum <Frankfurt, Main> |
Subject: | Preisbildung | pricing | Kreditrisiko | Insolvenz | insolvency |
- 1 Introduction
- 2 Literature Review
- 3 Data and Empirical Specification
- 3.1 Data Description
- 3.2 Empirical Specification
- 4 Results
- 4.1 Different SizeMeasures
- 4.2 Additional Control Variables
- 4.3 Sampling Issues
- 4.4 Alternative Specifications and Endogeneity
- 4.5 Results with Alternative Data Provider
- 5 Conclusion
- 6 Appendix
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