Types of liquidity and limits to arbitrage—the case of credit default swaps
研究了2008年6月至2009年9月期间，融资流动性和资产特定流动性如何解释CDS价格与债券利差之间的套利偏差，发现区分流动性类型对理解相对价格收敛很重要。
Abstract Using a sample of Credit Default Swap (CDS) prices and corresponding reference corporate bond yield spreads for the period June 2008 to September 2009, we show that funding liquidity (shadow cost of capital for arbitrageurs) as well as asset‐specific liquidity (determinants of margin requirements) explain recent deviations in the arbitrage‐based parity relationship between the CDS prices and bond yield spreads (CDS‐Bond spread basis). Collectively, our analysis corroborates the theory on the determinants of the basis, and suggests that it is important to distinguish between these types of liquidity in determining the circumstances in which relative prices will converge. Median annualized returns for a sample convergence type trading strategy with typical levels of leverage are 80% with a median holding‐period of 127 days, but the path to convergence is not smooth. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark