abstract: This paper examines dealers' inventory holding periods and the associated price markups on corporate bonds from 2003 to 2010. Changes in these measures explain a large part of the time series variation in aggregate corporate bond prices. In the cross-section, holding periods and markups overshadow extant liquidity measures and have significant explanatory power for individual bond prices. Both measures shed light on the credit spread puzzle: changes in credit spread are positively correlated with changes in holding periods and markups, and a large portion of credit spread changes is explained by them. The economic effects of holding periods and markups are particularly sharp during crisis periods. / Dissertation/Thesis / Ph.D. Business Administration 2012
Identifer | oai:union.ndltd.org:asu.edu/item:14631 |
Date | January 2012 |
Contributors | Qian, Zhiyi (Author), Wahal, Sunil (Advisor), Bharath, Sreedhar (Committee member), Coles, Jeffrey (Committee member), Mehra, Rajnish (Committee member), Arizona State University (Publisher) |
Source Sets | Arizona State University |
Language | English |
Detected Language | English |
Type | Doctoral Dissertation |
Format | 59 pages |
Rights | http://rightsstatements.org/vocab/InC/1.0/, All Rights Reserved |
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