Dissertation o. Habilitation

Three Essays on Corporate Bond Market Liquidity

The three essays study the US corporate bond market with special attention to bond liquidity. All essays are empirical studies which rely heavily on the availability of transactions data. Earlier studies had to use quoted bond prices for empirical studies, but with the introduction of the TRACE system and with the following dissemination of transaction prices the data quality on corporate bonds has improved immensely. In the years after 2000 a range of studies assessed the performance of structural credit risk models and found that they were not able to fully explain the size of the average credit spread for corporate bonds. Huang and Huang (2003) suggested (among others) that the remaining non-default-component of the credit spread was an illiquidity premium. Using transaction data this thesis studies the impact of illiquidity and trading frictions on corporate bonds.

Sprache
Englisch
ISBN
9788759384473

Erschienen in
Series: PhD Series ; No. 33.2010

Klassifikation
Management

Ereignis
Geistige Schöpfung
(wer)
Dick-Nielsen, Jens
Ereignis
Veröffentlichung
(wer)
Copenhagen Business School (CBS)
(wo)
Frederiksberg
(wann)
2010

Handle
Letzte Aktualisierung
20.09.2024, 08:23 MESZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Dissertation o. Habilitation

Beteiligte

  • Dick-Nielsen, Jens
  • Copenhagen Business School (CBS)

Entstanden

  • 2010

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