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Author : Elmira Shekari Namin
Release : 2017
Genre : Corporate bonds
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Three Essays on Corporate Bonds Yield Spreads, Credit Ratings and Liquidity by : Elmira Shekari Namin
Download or read book Three Essays on Corporate Bonds Yield Spreads, Credit Ratings and Liquidity written by Elmira Shekari Namin. This book was released on 2017. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jens Dick-Nielsen
Release : 2010
Genre :
Kind : eBook
Book Rating : 473/5 ( reviews)
Book Synopsis Three Essays on Corporate Bond Market Liquidity by : Jens Dick-Nielsen
Download or read book Three Essays on Corporate Bond Market Liquidity written by Jens Dick-Nielsen. This book was released on 2010. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Long Chen
Release : 2001
Genre :
Kind : eBook
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Book Synopsis Three Essays on the Basis Risk of Fixed Income Securities by : Long Chen
Download or read book Three Essays on the Basis Risk of Fixed Income Securities written by Long Chen. This book was released on 2001. Available in PDF, EPUB and Kindle. Book excerpt: The three essays can be regarded as studies on the basis risk of fixed income securities. They investigate the spreads among different bonds. The first essay, Market Risk and Credit Risk in a General Equilibrium Model, assumes perfect liquidity and focuses on the credit spread. By incorporating credit risk into the standard asset pricing models, it provides one of the first studies on how credit spread relates to market risk, including equity risk, interest risk, and inflation risk. The second essay, Illiquidity and Expected Return of Treasury Securities, focuses on Treasury bonds with zero default risk. The yield spreads among the bonds are solely due to liquidity difference. We derive, quantitatively, how this spread is related to the bid-ask spread, brokerage fee, bond maturity, and investors? expected holding period. It is one of the first theoretical models on the liquidity of treasury securities. The third essay, An Indirect Estimation of the Transaction Costs of Corporate Bonds, is an empirical estimation of the transaction costs of corporate bonds. It is observed that bonds with less liquidity tend to be the ones with lower credit rating quality. Liquidity risk and credit risk are thus intertwined. We are able to separate their effects and obtain estimates for liquidity spreads and credit spreads. In summary, the first essay studies credit risk; the second studies liquidity risk, and the third, as an empirical study, investigates both issues. They jointly contribute to the understanding of the basis risk of fixed income securities.
Author : Jack C. Bao
Release : 2009
Genre :
Kind : eBook
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Book Synopsis Essays on Corporate Bonds by : Jack C. Bao
Download or read book Essays on Corporate Bonds written by Jack C. Bao. This book was released on 2009. Available in PDF, EPUB and Kindle. Book excerpt: (cont.) In the third chapter (co-authored with Jun Pan and Jiang Wang), we examine the liquidity of corporate bonds and its asset-pricing implications. Our measure of illiquidity is based on the magnitude of transitory price movements. Using transaction-level data, we find the illiquidity in corporate bonds to be significant, substantially greater than what can be explained by the bid-ask bounce, and closely related to bond characteristics. We also find a strong commonality in the time variation of bond illiquidity, which rises sharply during market crises. Monthly changes in aggregate bond illiquidity are strongly related to changes in the CBOE VIX index. Finally, we find a relation between our measure of bond illiquidity and the cross-sectional variation in bond yield spreads.
Author : Siamak (Hossein) Javadi Asl
Release : 2014
Genre :
Kind : eBook
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Book Synopsis Two Essays on Corporate Bonds Credit Spreads by : Siamak (Hossein) Javadi Asl
Download or read book Two Essays on Corporate Bonds Credit Spreads written by Siamak (Hossein) Javadi Asl. This book was released on 2014. Available in PDF, EPUB and Kindle. Book excerpt: Abstract Essay1: This paper examines joint default risk and its bond pricing implications. Constructing a measure of default correlation from CDS data, we show that default correlation is priced in bond market. Default correlation is more pronounced during periods of financial distress and for speculative issues. Also, consistent with theory, we establish a link between default correlation, secondary bond market liquidity, and the overall economic condition. Deterioration in secondary bond market liquidity raises the default boundary across the board and triggers default correlation. Our results provide a direct evidence for an intricate interaction between default risk premium and liquidity risk premium and have significant risk management and policy implications.
