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Individual investors and suboptimal early exercises in the fixed-income market
Eickholt, Mathias; Entrop, Oliver; Wilkens, Marco - 2014
This paper is the first to analyze and value early exercises of Individual Investors in fixed-income investment products. Assuming decision and transaction costs we consider that a continuous decision-making on holding or exercising is not optimal anymore and propose a new approach to modeling...
Persistent link: https://www.econbiz.de/10010412103
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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
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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
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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
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An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets
Bongaerts, Dion - 2012
We use an asset pricing approach to compare the effects of expected liquidity and liquidity risk on expected U.S. corporate bond returns. Liquidity measures are constructed for bond portfolios using a Bayesian approach to estimate Roll's measure. The results show that expected bond liquidity and...
Persistent link: https://www.econbiz.de/10013115228
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An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets
Bongaerts, Dion - 2012
We use an asset pricing approach to compare the effects of expected liquidity and liquidity risk on expected U.S. corporate bond returns. Liquidity measures are constructed for bond portfolios using a Bayesian approach to estimate Roll's measure. The results show that expected bond liquidity and...
Persistent link: https://www.econbiz.de/10013106117
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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
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Swing pricing and fragility in open-end mutual funds
Jin, Dunhong; Kacperczyk, Marcin; Kahraman, Bige; … - 2019
Persistent link: https://www.econbiz.de/10013167809
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Customer Liquidity Provision : Implications for Corporate Bond Transaction Costs
Choi, Jaewon - 2019
The convention in calculating corporate bond trading costs is to estimate bid-ask spreads that customers pay, implicitly assuming that dealers always provide liquidity to customers. We show that, contrary to this assumption, customers increasingly provide liquidity after the post-2008 banking...
Persistent link: https://www.econbiz.de/10012902815
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Swing Pricing and Fragility in Open-end Mutual Funds
Jin, Dunhong - 2020
How to avert fragility in open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds' net asset values to pass on funds' trading costs to transacting shareholders....
Persistent link: https://www.econbiz.de/10012850955