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Transaction costs and capacity of systematic corporate bond strategies

Ivashchenko, Alexey; Kosowski, Robert L. - In: Financial analysts journal : FAJ 80 (2024) 4, pp. 53-80

Persistent link: https://www.econbiz.de/10015195221

Once a trader, always a trader : the role of traders in fund management

Cici, Gjergji; Schuster, Philipp; Weishaupt, Franziska - 2024

Mutual fund families are increasingly assigning traders to manage corporate bond mutual funds. Using this setting to study the role of traders in investment management, we document that trader managers identify and exploit short-term trading opportunities at lower transaction costs. These skills...

Persistent link: https://www.econbiz.de/10014467713

Book-to-market, mispricing, and the cross-section of corporate bond returns

Bartram, Söhnke M.; Grinblatt, Mark; Nozawa, Yoshio - 2023

Persistent link: https://www.econbiz.de/10014417997

The appeal of information transactions

Cabrales, Antonio; Gossner, Olivier; Serrano, Roberto - 2012

An information transaction entails the purchase of information. Formally, it consists of an information structure … together with a price. We develop an index of the appeal of information transactions, which is derived as a dual to the agent …'s preferences for information. The index of information transactions has a simple analytic characterization in terms of the relative …

Persistent link: https://www.econbiz.de/10009633817

Investors as a liquidity backstop in corporate bond markets

Comerton-Forde, Carole; Ford, Billy; Foucault, Thierry; … - 2025

Persistent link: https://www.econbiz.de/10015409633

A comparison of bid-ask spread proxies and determinants of bond bid-ask spread

Su, Emre; Tokmakcioglu, Kaya - In: Borsa Istanbul Review 21 (2021) 3, pp. 227-238

This paper compares performances of bid-ask spread measures and analyzes bond-level characteristics' effects on the bid-ask spread for Turkish sovereign bonds traded in Borsa Istanbul. We use intraday order data to establish a relative quoted bid-ask spread as a benchmark and compare bid-ask...

Persistent link: https://www.econbiz.de/10012816797

Swing pricing and fragility in open-end mutual funds

Jin, Dunhong; Kacperczyk, Marcin; Kahraman, Bige; … - In: The review of financial studies 35 (2022) 1, pp. 1-50

Persistent link: https://www.econbiz.de/10012799346

Measuring Liquidity Provision by Customers in Corporate Bond Markets : Evidence from 54 Million Transactions

Xue, Jinming - 2019

This paper measures the time-varying provision of liquidity by buy-side customers (e.g., mutual funds and pension funds), relative to bond dealers, in corporate bond markets using a structural vector autoregression (SVAR) model. As indicated by my simple theory model, shocks to the relative...

Persistent link: https://www.econbiz.de/10012860673

Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns

Bartram, Söhnke M. - 2020

We study the role played by "bond book-to-market" ratios in U.S. corporate bond pricing. Controlling for numerous risk factors tied to default and priced asset risk, including yield-to-maturity, we find that the ratio of a corporate bond's book value to its market price strongly predicts the...

Persistent link: https://www.econbiz.de/10012481203

Transaction Costs, Trade Throughs, and Riskless Principal Trading in Corporate Bond Markets

Harris, Lawrence - 2015

This study analyzes the costs of trading bonds using previously unexamined quotations data consolidated across several electronic bond trading venues. Much bond market trading is now electronic, but the benefits largely accrue to dealers because their customers often do not trade at the best...

Persistent link: https://www.econbiz.de/10013015274