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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,

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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    Title
    • Intermediaries, illiquidity and corporate bond pricing
    Contributors
    Date Created
    2012
    Resource Type
  • Text
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    Note
    • thesis
      Partial requirement for: Ph. D., Arizona State University, 2012
    • bibliography
      Includes bibliographical references (p. 51-53)
    • Field of study: Business administration

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    by Zhiyi Qian

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