TY  - JOUR
AU  - Mayordomo,Sergio
AU  - Peña,Juan Ignacio
AU  - Schwartz,Eduardo S.
TI  - Are all Credit Default Swap Databases Equal?
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 16590
PY  - 2010
Y2  - December 2010
UR  - http://www.nber.org/papers/w16590
L1  - http://www.nber.org/papers/w16590.pdf
N1  - Author contact info:
Sergio Mayordomo
Comision Nacional del Mercado 
  de Valores (CNMV)
Miguel Angel, 11
28010 Madrid
Spain
E-Mail: smgomez@cnmv.es

Juan Ignacio Pena
Universidad Carlos III
Madrid 126
28903 Getafe
Madrid, Spain
E-Mail: ypenya@eco.uc3m.es

Eduardo S. Schwartz
Anderson Graduate School of Management
UCLA
110 Westwood Plaza
Los Angeles, CA  90095
Tel: 310/825-2873
Fax: 310/825-6384
E-Mail: eduardo.schwartz@anderson.ucla.edu
AB  - The presence of different prices in different databases for the same securities can impair the comparability of research efforts and seriously damage the management decisions based upon such research. In this study we compare the six major sources of corporate Credit Default Swap prices: GFI, Fenics, Reuters EOD, CMA, Markit and JP Morgan, using the most liquid single name 5-year CDS of the components of the leading market indexes, iTraxx (European firms) and CDX (US firms) for the period from 2004 to 2010. We find systematic differences between the data sets implying that deviations from the common trend among prices in the different databases are not purely random but are explained by idiosyncratic factors as well as liquidity, global risk and other trading factors. The lower is the amount of transaction prices available the higher is the deviation among databases. Our results suggest that the CMA database quotes lead the price discovery process in comparison with the quotes provided by other databases. Several robustness tests confirm these results.
ER  -