Information and component shares metrics are used to study the price discovery contributions of equity and credit default swap (CDS) markets for North American firms with intraday data. While the discovery metrics are generally not significantly different from 50% for each market, the CDS...

Starting in September 2007 the banking system worldwide was turned upside down; both level and volatility of banks' CDS spreads experienced an eightfold increase that can hardly be motivated by changes in fundamentals. The recent Global Games literature proposes a theory that explains banks'...

This paper examines the potential distortion of prices in the CDS market caused by too-big-to-fail. Overall, we find evidence for market discipline in the CDS market. However, CDS prices are distorted due to a size effect which arises when investors expect a public bail-out as a result of...