Three Essays on Corporate Bond Market Liquidity

Research output: Book/ReportPh.D. thesisResearch

Abstract

The three essays study the US corporate bond market with special attention to bond liquidity. All essays are empirical studies which rely heavily on the availability of transactions data. Earlier studies had to use quoted bond prices for empirical studies, but with the introduction of the TRACE system and with the following dissemination of transaction prices the data quality on corporate bonds has improved immensely. In the years after 2000 a range of studies assessed the performance of structural credit risk models and found that they were not able to fully explain the size of the average credit spread for corporate bonds. Huang and Huang (2003) suggested (among others) that the remaining non-default-component of the credit spread was an illiquidity premium. Using transaction data this thesis studies the impact of illiquidity and trading frictions on corporate bonds.
Original languageEnglish
Place of PublicationFrederiksberg
PublisherSamfundslitteratur
Number of pages141
ISBN (Print)9788759384473
Publication statusPublished - 2010
SeriesPhD. Series
Number33.2010
ISSN0906-6934

Cite this

Dick Nielsen, J. (2010). Three Essays on Corporate Bond Market Liquidity. Frederiksberg: Samfundslitteratur. PhD. Series, No. 33.2010
Dick Nielsen, Jens. / Three Essays on Corporate Bond Market Liquidity. Frederiksberg : Samfundslitteratur, 2010. 141 p. (PhD. Series; No. 33.2010).
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Dick Nielsen, J 2010, Three Essays on Corporate Bond Market Liquidity. PhD. Series, no. 33.2010, Samfundslitteratur, Frederiksberg.

Three Essays on Corporate Bond Market Liquidity. / Dick Nielsen, Jens.

Frederiksberg : Samfundslitteratur, 2010. 141 p. (PhD. Series; No. 33.2010).

Research output: Book/ReportPh.D. thesisResearch

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Dick Nielsen J. Three Essays on Corporate Bond Market Liquidity. Frederiksberg: Samfundslitteratur, 2010. 141 p. (PhD. Series; No. 33.2010).