Dealer Inventory and the Cost of Immediacy

Publikation: KonferencebidragPaperForskningpeer review

Resumé

This study shows that the recent 80% decrease in dealer inventories of
corporate bonds has increased the cost of immediacy. For safe bonds which are quickly turned over again by dealers the increase is up to 15%, while for risky bonds which are kept on inventory by dealers the increase is up to 100% on average. The time series of transaction costs is estimated using the natural experiment of corporate bond index exclusions. The exclusions are monthly and information-free events where index trackers seeking to minimize tracking error request immediacy in order to sell close to the exclusion date. The drop in dealer inventories, and thus the rise in transaction costs, is a side-eect of anticipated tighter regulation, primarily Basel III and the Volcker Rule.
OriginalsprogEngelsk
Publikationsdato2013
Antal sider46
StatusUdgivet - 2013
Begivenhed2013 Fixed Income Conference - Darla Moore School of Business: Looking Beyond Liquidity - Darla Moore School of Business, University of South Carolina, Columbia, SC , USA
Varighed: 19 apr. 201320 apr. 2013
Konferencens nummer: 2
http://mooreschool.sc.edu/executiveeducation/workshopsconferences/pastworkshopsconferences/2013fixedincomeconference.aspx

Konference

Konference2013 Fixed Income Conference - Darla Moore School of Business
Nummer2
LokationDarla Moore School of Business, University of South Carolina
LandUSA
ByColumbia, SC
Periode19/04/201320/04/2013
Internetadresse

Bibliografisk note

CBS Bibliotek har ikke adgang til materialet

Emneord

  • Dealer inventory
  • Lehman/Barclay bond index
  • Market making
  • Transaction costs
  • Dodd-Frank Act

Citer dette

Dick-Nielsen, J. (2013). Dealer Inventory and the Cost of Immediacy. Afhandling præsenteret på 2013 Fixed Income Conference - Darla Moore School of Business, Columbia, SC , USA.
Dick-Nielsen, Jens. / Dealer Inventory and the Cost of Immediacy. Afhandling præsenteret på 2013 Fixed Income Conference - Darla Moore School of Business, Columbia, SC , USA.46 s.
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Dick-Nielsen, J 2013, 'Dealer Inventory and the Cost of Immediacy' Paper fremlagt ved 2013 Fixed Income Conference - Darla Moore School of Business, Columbia, SC , USA, 19/04/2013 - 20/04/2013, .

Dealer Inventory and the Cost of Immediacy. / Dick-Nielsen, Jens.

2013. Afhandling præsenteret på 2013 Fixed Income Conference - Darla Moore School of Business, Columbia, SC , USA.

Publikation: KonferencebidragPaperForskningpeer review

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Dick-Nielsen J. Dealer Inventory and the Cost of Immediacy. 2013. Afhandling præsenteret på 2013 Fixed Income Conference - Darla Moore School of Business, Columbia, SC , USA.