Three Essays on Corporate Bond Market Liquidity

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Three Essays on Corporate Bond Market Liquidity

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dc.contributor.author Dick-Nielsen, Jens
dc.date.accessioned 2010-11-04
dc.date.accessioned 2010-11-04T13:45:54Z
dc.date.available 2010-11-04T13:45:54Z
dc.date.issued 2010-11-04
dc.identifier.isbn 9788759384473
dc.identifier.uri http://hdl.handle.net/10398/8198
dc.description.abstract 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. en_US
dc.format.extent 141 en_US
dc.language eng en_US
dc.relation.ispartofseries Ph.D. Serien;33.2010
dc.title Three Essays on Corporate Bond Market Liquidity en_US
dc.type phd en_US
dc.accessionstatus modt10nov04 lbjl en_US
dc.contributor.corporation Copenhagen Business School. CBS en_US
dc.contributor.department Institut for Finansiering en_US
dc.contributor.departmentshort FI en_US
dc.contributor.departmentuk Department of Finance en_US
dc.contributor.departmentukshort FI en_US
dc.idnumber 9788759384473 en_US
dc.publisher.city Frederiksberg en_US
dc.publisher.year 2010 en_US


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