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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 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.
Created Date 2012
Contributor Qian, Zhiyi (Author) / Wahal, Sunil (Advisor) / Bharath, Sreedhar (Committee member) / Coles, Jeffrey (Committee member) / Mehra, Rajnish (Committee member) / Arizona State University (Publisher)
Subject Finance / Bond / Liquidity
Type Doctoral Dissertation
Extent 59 pages
Language English
Reuse Permissions All Rights Reserved
Note Ph.D. Business Administration 2012
Collaborating Institutions Graduate College / ASU Library
Additional Formats MODS / OAI Dublin Core / RIS

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Description Dissertation/Thesis