Similar Search Results

Alternative trading systems in the corporate bond market

Kozora, Matthew; Mizrach, Bruce Marshall; Peppe, Matthew; … - 2020

We investigate the trading of corporate bonds on alternative trading system (ATS) platforms. We draw a key distinction between request-for-quote (RFQ) and electronic communication network (ECN) trading protocols, which balance investors' preference for immediacy and anonymity. Trades on ATS...

Persistent link: https://www.econbiz.de/10012619515

To disclose or not to disclose: Transparency and liquidity in the structured product market

Friewald, Nils; Jankowitsch, Rainer; Subrahmanyam, Marti G. - 2014

We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and … provide guidance for improving transparency while maintaining trader confidentiality. In addition, we analyze liquidity in the …

Persistent link: https://www.econbiz.de/10010368433

Insurance options: Beating the benchmark : are catastrophe bonds more profitable than corporate bonds?

Caro Barrera, José Rafael - In: Revista de Métodos Cuantitativos para la Economía y … 29 (2020), pp. 3-17

In this paper, we establish a comparison between one of the most traded financial derivatives in the markets, the so-called catastrophe bonds (abbreviated as cat bonds) and the corporate bonds. In the first section, we start from a brief definition as well as some basic concepts. In section two,...

Persistent link: https://www.econbiz.de/10014494402

Time-varying contributions by the corporate bond and CDS markets to credit risk price discovery

Dötz, Niko - 2007

This paper looks at the dynamic price relationship between spreads in the corporate bond market and credit default swaps (CDS). It picks up where Blanco et al (2005) leave off but is focused on European credit markets. The study is based on companies listed in the iTraxx CDS index and thus on...

Persistent link: https://www.econbiz.de/10010295927

Are corporate bond defaults contagious across sectors?

Ellis, Colin - In: International Journal of Financial Studies 8 (2020) 1, pp. 1-17

Corporate bond defaults in different sectors often increase suddenly at roughly similar times, although some sectors see default rates jump earlier than others. This could reflect contagion among sectors-specifically, defaults in one sector leading to credit stresses in other sectors of the...

Persistent link: https://www.econbiz.de/10013200249

On the diversification of fixed income assets

Le Courtois, Olivier - In: Risks 10 (2022) 2, pp. 1-21

This article introduces a new approach for dealing with the diversification/concentration risk of fixed income assets. Because Government bonds, corporate bonds, and mortgage backed securities constitute a large proportion of the assets of institutional investors in most countries, it is...

Persistent link: https://www.econbiz.de/10013200922

The valuation of corporate liabilities: Theory and tests

Ericsson, Jan; Reneby, Joel - 2001

form models. Furthermore, our analysis provide evidence that bond yield spreads incorporate a substantial liquidity …

Persistent link: https://www.econbiz.de/10010281391

How to measure Corporate Bond Liquidity?

Houweling, Patrick; Mentink, Albert; Vorst, Ton - 2003

contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity …, credit and currencydifferences between bonds. The null hypothesis that liquidity risk is not priced in our dataset of euro … corporate bonds is rejected for seven out of eight liquidity measures. We findsignificant liquidity premia, ranging from 9 to 24 …

Persistent link: https://www.econbiz.de/10010324943

Did liquidity providers become liquidity seekers?

Choi, Jaewon; Shachar, Or - 2013

-09 financial crisis is often attributed to corporate bond dealers shedding off their inventory, right when liquidity was scarce …, including proprietary trading desks in investment banks, provided liquidity in response to the large selling by clients …. Corporate bond inventory of dealers rose sharply as a result. Although providing liquidity, limits to arbitrage, possibly in the …

Persistent link: https://www.econbiz.de/10010333633

Centralized trading of corporate bonds

Huber, Samuel; Kim, Jaehong - 2015

bond market liquidity. In order to stabilize these markets, policy makers recently proposed that the trading of corporate … only if it is feasible for him to also affect market liquidity, by either increasing or decreasing it. …

Persistent link: https://www.econbiz.de/10011420570