Three Essays on Corporate Bond Market Liquidity

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Three Essays on Corporate Bond Market Liquidity

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Titel: Three Essays on Corporate Bond Market Liquidity
Forfatter: Dick-Nielsen, Jens
Resume: 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.
URI: http://hdl.handle.net/10398/8198
Dato: 2010-11-04

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