The Cost of Immediacy for Corporate Bonds

Jens Dick-Nielsen, Marco Rossi

Publikation: KonferencebidragPaperForskningpeer review

Abstrakt

Liquidity provision in the corporate bond market has become significantly more expensive after the 2008 credit crisis. Using index exclusions as a natural experiment during which uninformed index trackers request immediacy, we find that the price of immediacy has doubled for short-term investment grade bonds, and more than tripled for speculative-grade bonds. The increased cost of immediacy is a side-effect of a ban on proprietary trading (Volker Rule) and tighter post-crisis capital regulations, which have resulted in lower aggregate dealer inventories.
OriginalsprogEngelsk
Publikationsdato2016
Antal sider42
StatusUdgivet - 2016
BegivenhedThe 14th International Paris December Finance Meeting - Paris, Frankrig
Varighed: 20 dec. 201620 dec. 2016
Konferencens nummer: 14
https://www.eurofidai.org/fr/december2016.html

Konference

KonferenceThe 14th International Paris December Finance Meeting
Nummer14
LandFrankrig
ByParis
Periode20/12/201620/12/2016
Internetadresse

Emneord

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

Citationsformater

Dick-Nielsen, J., & Rossi, M. (2016). The Cost of Immediacy for Corporate Bonds. Afhandling præsenteret på The 14th International Paris December Finance Meeting, Paris, Frankrig.