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Are All Credit Default Swap Databases Equal?


  • This paper was partially drafted during the visit of Sergio Mayordomo to the Anderson School at UCLA. We acknowledge financial support from MCI grant ECO2009-12551. We are very grateful to an anonymous referee for many helpful comments and to the editor John Doukas for very useful suggestions. Moreover, the paper has benefitted from comments by Rodolfo Campos, Teresa Corzo, Lars Norden, Yves Nosbusch, J. Pedro Nunes, Jose Penalva, Maria Rodriguez-Moreno, Christina Wang, and other participants in the IX INFINITI Conference, 2011 IFABS Conference, XIX Foro de Finanzas (Spanish Finance Association), University of Valencia seminar, and 2012 EFMA Conference (Barcelona) for useful comments. Correspondence: Sergio Mayordomo.


We compare the five major sources of corporate Credit Default Swap prices: GFI, Fenics, Reuters, CMA, and Markit, using the most liquid single name 5-year CDS in the iTraxx and CDX indexes from 2004 to 2010. Deviations from the common trend among prices in the different databases are not random but are explained by idiosyncratic factors, financing costs, global risk, and other trading factors. The CMA quotes lead the price discovery process. Moreover, we find that there is not a full agreement among databases in the results of the price discovery analysis between stock and CDS returns.