The Cost of Immediacy for Corporate Bonds

Jens Dick-Nielsen, Marco Rossi

Publikation: KonferencebidragPaperForskningpeer review

Resumé

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

Citer dette

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.
Dick-Nielsen, Jens ; Rossi, Marco. / The Cost of Immediacy for Corporate Bonds. Afhandling præsenteret på The 14th International Paris December Finance Meeting, Paris, Frankrig.42 s.
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Dick-Nielsen, J & Rossi, M 2016, 'The Cost of Immediacy for Corporate Bonds' Paper fremlagt ved The 14th International Paris December Finance Meeting, Paris, Frankrig, 20/12/2016 - 20/12/2016, .

The Cost of Immediacy for Corporate Bonds. / Dick-Nielsen, Jens; Rossi, Marco.

2016. Afhandling præsenteret på The 14th International Paris December Finance Meeting, Paris, Frankrig.

Publikation: KonferencebidragPaperForskningpeer review

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KW - Market making

KW - Transaction costs

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