CDS portfolios sorted on ΔIMVOL1
| Low-1 | 2 | 3 | High-4 | H-L | |
|---|---|---|---|---|---|
| Panel A: full sample period | |||||
| Average change | −0.079 | 6.420 | 7.291 | 4.313 | 4.392* |
| (−0.01) | (0.99) | (0.77) | (0.57) | (1.89) | |
| CDS percentage change (%) | 5.066 | 4.810 | 4.488 | 0.471 | |
| Firm stock return (%) | 0.791 | 0.138 | 0.329 | 1.394 | |
| CDS liquidity | 7.214 | 7.634 | 7.299 | 7.172 | |
| Panel B: sample period excluding the global financial crisis | |||||
| Average Change | −2.581 | 2.904 | 0.623 | 1.122 | 3.703** |
| (−1.07) | (0.98) | (0.26) | (0.37) | (2.12) | |
| CDS percentage change (%) | 4.691 | 4.335 | 3.662 | −0.837 | |
| Firm stock return (%) | 0.541 | −0.166 | 0.623 | 1.921 | |
| CDS liquidity | 7.076 | 7.218 | 6.739 | 7.032 | |
| Low-1 | 2 | 3 | High-4 | H-L | |
|---|---|---|---|---|---|
| Average change | −0.079 | 6.420 | 7.291 | 4.313 | 4.392* |
| (−0.01) | (0.99) | (0.77) | (0.57) | (1.89) | |
| CDS percentage change (%) | 5.066 | 4.810 | 4.488 | 0.471 | |
| Firm stock return (%) | 0.791 | 0.138 | 0.329 | 1.394 | |
| CDS liquidity | 7.214 | 7.634 | 7.299 | 7.172 | |
| Average Change | −2.581 | 2.904 | 0.623 | 1.122 | 3.703** |
| (−1.07) | (0.98) | (0.26) | (0.37) | (2.12) | |
| CDS percentage change (%) | 4.691 | 4.335 | 3.662 | −0.837 | |
| Firm stock return (%) | 0.541 | −0.166 | 0.623 | 1.921 | |
| CDS liquidity | 7.076 | 7.218 | 6.739 | 7.032 | |
Source(s): The authors