This paper proposes two new Credit Default Swap (CDS) endogenous systematic
factors constructed from peer-CDS information. The factors capture slow-moving
credit risk information, as well as fast-moving newly arrived market information
embedded in the most recent CDS quotes. Using a sample of U.S. non-ﬁnancial
listed ﬁrms from 2002 to 2011, we ﬁnd that these two endogenous systematic factors
dominate ﬁrm-speciﬁc factors and other widely known systematic factors in in
sample and out-of-sample CDS spread predictions.