We find that firms' market share grows significantly faster if they have credit default swaps (CDS) traded on their debt. We use multiple approaches including overlap weighting analysis to draw causal inference about the effect of CDS on market share. CDS-referenced firms achieve growth by...

The credit default swaps (CDS) market provides a trading venue for downside price movement. We find that future stock price crashes are less frequent after the inception of CDS trading on the firm's debt. The causal effect of CDS trading on stock crash risk is supported by multiple approaches,...

This paper studies model uncertainty associated with predictive regressions in asset return predictability research. We comprehensively investigate the performance of Bayesian model averaging (BMA), first introduced to the literature by Avramov (2002) and Cremers (2002), when applied to linear...

The authors of this paper (Hameed, Helwege, Li and Packer) examine the liquidity of corporate bonds in emerging market economies (EMEs). Their main goal is to identify the most effective measures of corporate bond liquidity in EMEs. Six quantity-based (eg turnover) and six price-based (eg the...

We propose an empirical study on the pricing effect of liquidity level and liquidity risk in the credit default swaps (CDS) market. CDS is the key constituent of the fast growing credit derivatives market that has $34.4 trillion in total notional value by the end of 2006. Credit derivatives play...

We present an empirical study of the pricing effect of liquidity in the credit default swaps (CDS) market. We construct liquidity proxies to capture various facets of CDS liquidity including adverse selection, search frictions, and inventory costs. We show that the liquidity effect on CDS...

Contingent convertible bonds (CoCos) are the latest bank capital instruments advocated by the Basel Committee on Banking Supervision and many national bank regulators. CoCos are intended to reduce banks' reliance on government bailouts and have been extensively issued by banks worldwide since...

The suitability of complex financial products for household investors is an important issue in light of consumer financial protection. The U.S. Dodd-Frank Act, for instance, mandates that distributors check suitability when selling structured products to retail investors. However, little...

Environmental, social, and governance (ESG) ratings are widely used in practice but lack evidence of their underpinning. We find that firms sharing the same major shareholders with the rater (“sister firms”) receive higher ESG ratings. We make causal inference for the ownership effect by...

When credit default swaps (CDS) spreads change, to what extent can we interpret that the credit risk of the reference entities have changed? We study determinants of CDS spread changes between consecutive trades. Using transactions data for corporate reference entities in North America during...