Explaining co-movements between equity and CDS bid-ask spreads
研究发现股票与信用违约互换的买卖价差共同变动在危机期间增强，且与系统性风险因子和债务权益对冲比率密切相关，对冲、信息不对称、融资成本及波动风险是共同变动的主要驱动因素。
In this paper I show that the co-movements between bid-ask spreads of equities and credit default swaps vary over time and increase over crisis periods. The co-movements are strongly related to systematic risk factors and to the theoretical debt-to-equity hedge ratio. I document that hedging and asymmetric information, besides higher funding costs and market volatility risk, are driving factors of the commonality and are significantly priced in CDS bid-ask spreads.