Federal ID: 91-6001537
ISSN: 0022-1090 (Print) | 1756-6916 (Online)
Credit Default Swaps, Fire Sale Risk and the Liquidity Provision in the Bond Market
Massimo Massa and Lei Zhang ♦ We study the effect of credit default swaps on the bond market. Using a comprehensive sample of US corporate bonds, we document that the presence of CDSs significantly increases bond liquidity and reduces yield…