Full metadata
Title
Intermediaries, illiquidity and corporate bond pricing
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.
Date Created
2012
Contributors
- Qian, Zhiyi (Author)
- Wahal, Sunil (Thesis advisor)
- Bharath, Sreedhar (Committee member)
- Coles, Jeffrey (Committee member)
- Mehra, Rajnish (Committee member)
- Arizona State University (Publisher)
Topical Subject
Resource Type
Extent
v, 53 p. : col. ill
Language
eng
Copyright Statement
In Copyright
Primary Member of
Peer-reviewed
No
Open Access
No
Handle
https://hdl.handle.net/2286/R.I.14631
Statement of Responsibility
by Zhiyi Qian
Description Source
Viewed on October 15. 2013
Level of coding
full
Note
thesis
Partial requirement for: Ph. D., Arizona State University, 2012
bibliography
Includes bibliographical references (p. 51-53)
Field of study: Business administration
System Created
- 2012-08-24 06:17:36
System Modified
- 2021-08-30 01:48:16
- 3 years 2 months ago
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