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Title:
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Three Essays on Corporate Bond Market Liquidity
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Author:
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Dick-Nielsen, Jens |
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Abstract:
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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. |
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URI:
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http://hdl.handle.net/10398/8198
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Date:
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2010-11-04 |
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