{"title":"关于CDS市场的投机我们知道些什么?","authors":"Lars Norden, Kristina Radoeva","doi":"10.2139/ssrn.2148616","DOIUrl":null,"url":null,"abstract":"We measure speculation in the CDS market and investigate its determinants. The CDS volume on a firm that exceeds its outstanding debt (= naked CDS) indicates speculation since hedging can be ruled out. Using weekly CDS trading volume data for actively traded U.S. firms during 2008-2012, we provide evidence for substantial speculation in the CDS market. The median (mean) ratio of the firm-specific CDS volume to total debt is 1.8 (3.6) and the maximum is 65, with values above one being consistent with speculation. We further show that the extent and likelihood of speculation varies across industries, and it significantly increases in firm default risk and decreases with firm size and profitability.","PeriodicalId":338158,"journal":{"name":"CDS Markets","volume":"32 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2013-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"9","resultStr":"{\"title\":\"What Do We Know About Speculation in the CDS Market?\",\"authors\":\"Lars Norden, Kristina Radoeva\",\"doi\":\"10.2139/ssrn.2148616\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We measure speculation in the CDS market and investigate its determinants. The CDS volume on a firm that exceeds its outstanding debt (= naked CDS) indicates speculation since hedging can be ruled out. Using weekly CDS trading volume data for actively traded U.S. firms during 2008-2012, we provide evidence for substantial speculation in the CDS market. The median (mean) ratio of the firm-specific CDS volume to total debt is 1.8 (3.6) and the maximum is 65, with values above one being consistent with speculation. We further show that the extent and likelihood of speculation varies across industries, and it significantly increases in firm default risk and decreases with firm size and profitability.\",\"PeriodicalId\":338158,\"journal\":{\"name\":\"CDS Markets\",\"volume\":\"32 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2013-03-02\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"9\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"CDS Markets\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2148616\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"CDS Markets","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2148616","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
What Do We Know About Speculation in the CDS Market?
We measure speculation in the CDS market and investigate its determinants. The CDS volume on a firm that exceeds its outstanding debt (= naked CDS) indicates speculation since hedging can be ruled out. Using weekly CDS trading volume data for actively traded U.S. firms during 2008-2012, we provide evidence for substantial speculation in the CDS market. The median (mean) ratio of the firm-specific CDS volume to total debt is 1.8 (3.6) and the maximum is 65, with values above one being consistent with speculation. We further show that the extent and likelihood of speculation varies across industries, and it significantly increases in firm default risk and decreases with firm size and profitability.
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