The impact of trade reporting and central clearing on CDS price informativeness

Marra, M. ORCID: https://orcid.org/0000-0003-0810-7323, Yu, F. and Zhu, L. (2019) The impact of trade reporting and central clearing on CDS price informativeness. Journal of Financial Stability, 43. pp. 130-145. ISSN 1572-3089 doi: 10.1016/j.jfs.2019.07.002

Abstract/Summary

We find that the magnitude of unique credit default swap (CDS) market information (constructed to be orthogonal to contemporaneous and lagged stock returns) declined after recent reforms that increased the level of post-trade regulatory and market transparency for CDSs. Around the same reforms, the ability of this CDS-unique information to predict future stock returns decreased. These results suggest the CDS market has become less of a “hidden” trading venue for informed investors since central clearing and trade reporting started.

Item Type	Article
URI	https://reading-pure-test.eprints-hosting.org/id/eprint/84785
Identification Number/DOI	10.1016/j.jfs.2019.07.002
Refereed	Yes
Divisions	Henley Business School > Finance and Accounting Central Services
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