Khanna, Yonas; Lucas, André; Seeger, Norman - 2025 - This version: May 26, 2025
The CDS-bond basis quantifies the difference in risk premia between credit default swap (CDS) and bond markets. It is hard to measure at the individual firm level given substantial missing-value problems (30%-100%) in either or both markets, even for highly liquid blue-chip financial firms. We...