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Remarks at the ACI 2010 World Congress, Sydney, Australia.
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We examine the determinants of the realized bid-ask spread in the U.S. corporate, municipal and government bond markets … markets, the bid-ask spread increases in the remaining-time-to maturity of a bond. The corporate bond spread also increases in … credit risk and the age of a bond. The municipal bond spread increases in the after-tax bond yield. Controlling for others …
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Remarks at Workshop on "Fire Sales" as a Driver of Systemic Risk in Tri-Party Repo and Other Secured Funding Markets, Federal Reserve Bank of New York, New York City.
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Remarks at 2010 CFA Institute Fixed Income Management Conference, Newport Beach, California.
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Remarks at New York University's Stern School of Business, New York City.
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