Intermediaries, Illiquidity and Corporate Bond Pricing
abstract: This paper examines dealers' inventory holding periods and the associated price markups on corporate bonds from 2003 to 2010. Changes in these measures explain a large part of the time series variation in aggregate corporate bond prices. In the cross-section, holding periods and marku...
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Format: | Doctoral Thesis |
Language: | English |
Published: |
2012
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Online Access: | http://hdl.handle.net/2286/R.I.14631 |
Summary: | abstract: This paper examines dealers' inventory holding periods and the associated price markups on corporate bonds from 2003 to 2010. Changes in these measures explain a large part of the time series variation in aggregate corporate bond prices. In the cross-section, holding periods and markups overshadow extant liquidity measures and have significant explanatory power for individual bond prices. Both measures shed light on the credit spread puzzle: changes in credit spread are positively correlated with changes in holding periods and markups, and a large portion of credit spread changes is explained by them. The economic effects of holding periods and markups are particularly sharp during crisis periods. === Dissertation/Thesis === Ph.D. Business Administration 2012 |
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