The Cost of Immediacy for Corporate Bonds

Jens Dick-Nielsen, Marco Rossi

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Abstrakt

Liquidity provision for corporate bonds has become significantly more expensive after the 2008 crisis. Using index exclusions as a natural experiment during which uninformed index trackers request immediacy, we find that the cost of immediacy has more than doubled. In addition, the supply of immediacy has become more elastic with respect to its price. Consistent with a stringent regulatory environment incentivizing smaller dealer inventories, we also find that dealers revert deviations from their target inventory more quickly after the crisis. Finally, we investigate the pricing impact of information, changes in ownership structure, and differences between bank and nonbank dealers.
OriginalsprogEngelsk
TidsskriftReview of Financial Studies
Vol/bind32
Udgave nummer1
Sider (fra-til)1-41
Antal sider41
ISSN0893-9454
DOI
StatusUdgivet - jan. 2019

Bibliografisk note

Published online: 24 July 2018

Emneord

  • Asset pricing
  • Trading volume
  • Bond interest rates
  • Panel data models
  • Spatio-temporal models

Citationsformater