Description
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.
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Details
Title
- Intermediaries, illiquidity and corporate bond pricing
Contributors
- Qian, Zhiyi (Author)
- Wahal, Sunil (Thesis advisor)
- Bharath, Sreedhar (Committee member)
- Coles, Jeffrey (Committee member)
- Mehra, Rajnish (Committee member)
- Arizona State University (Publisher)
Date Created
The date the item was original created (prior to any relationship with the ASU Digital Repositories.)
2012
Resource Type
Collections this item is in
Note
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thesisPartial requirement for: Ph. D., Arizona State University, 2012
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bibliographyIncludes bibliographical references (p. 51-53)
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Field of study: Business administration
Citation and reuse
Statement of Responsibility
by Zhiyi Qian