The CDS‐bond basis
研究了信用违约互换与债券基差的横截面差异，发现交易流动性、融资成本、对手方风险和抵押品质量等摩擦因素越大，基差偏离越大，且债券借贷费用高时基差更负，表明套利者不愿在高空头兴趣时进行负基差交易。
Abstract We investigate the cross‐sectional variation in the credit default swap (CDS)‐bond bases and test explanations for the violation of the arbitrage relation between cash bond and CDS contract, which states that the basis should be zero in normal conditions. The evidence is consistent with “limits to arbitrage” theories in that deviations are larger for bonds with higher frictions as measured by trading liquidity, funding cost, counterparty risk, and collateral quality. Surprisingly, we find the basis to be more negative when bond lending fee is higher suggesting that arbitrageurs are unwilling to engage in a negative basis trade when short interest on the bond is high.