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Author : Robert Czech
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (124 download)
Download or read book Informed Trading and the Dynamics of Client-dealer Connections in Corporate Bond Markets written by Robert Czech and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Xing Zhou
Publisher :
ISBN 13 :
Total Pages : 246 pages
Book Rating : 4.:/5 (273 download)
Download or read book Informed Trading and Its Implications for Corporate Bond Pricing written by Xing Zhou and published by . This book was released on 2008 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Denis Lapitski
Publisher :
ISBN 13 :
Total Pages : 102 pages
Book Rating : 4.:/5 (232 download)
Download or read book Informed Trading in a Corporate Bond Market written by Denis Lapitski and published by . This book was released on 2007 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Anand Srinivasan
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (129 download)
Download or read book Price Formation in the Otc Corporate Bond Markets written by Anand Srinivasan and published by . This book was released on 2010 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first exploratory field study of the U.S. inter-dealer OTC corporate bond market. We do this by analyzing the trades of a major bond dealer and through interviews with personnel at the trading desk of this dealer. We document the competitive structure of the market in terms of the number of active dealers, the mechanism used to facilitate trades etc. We find that the mechanism of trading closely resembles a first price sealed bid auction. The number of active dealers is quite small - only 9 dealers account for a large fraction of the trades. We examine potential differences between different segments of the market. We develop a measure of competition for this bidding market based on the theory of auctions. This is the difference between the best and second best bid in a given trade. Our measure of competition indicates that competition is highest in US investment grade corporate bonds and lowest in junk bonds. We also examine the effect of size of the trade on this measure of competition. Surprisingly, large trades do not suffer from any adverse market impact. Lastly, we examine the effect of exclusion of individual bidders on the level of competition. The effect does not appear very large.
Author : Antje Berndt
Publisher :
ISBN 13 :
Total Pages : 75 pages
Book Rating : 4.:/5 (13 download)
Download or read book Dealer Inventory, Short Interest and Price Efficiency in the Corporate Bond Market written by Antje Berndt and published by . This book was released on 2019 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose an equilibrium model of over-the-counter corporate bond trading with short selling, asymmetric information and dealer inventory costs. The model predicts that higher inventory costs impose implicit short-sale constraints on informed investors and are thus associated with lower price efficiency. We construct bond-level proxies for inventory costs and provide empirical evidence in support of the model's prediction. Our findings suggest that tighter post-GFC regulation may have had unintended consequences for corporate bond market quality.
Author : Ryan Lewis
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Effects of Transparency on Trading Profits and Price Informativeness written by Ryan Lewis and published by . This book was released on 2019 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the effects of post-trade price transparency on the allocation of trading surplus in the corporate bond market. Using the introduction of TRACE as a natural experiment, we show that dealer profits are unconditionally lower when trade prices are disseminated. However, conditional on facing a customer imbalance, dealers perform better when trades are published because they can use that information to adjust prices more quickly to their future level. We provide evidence that prices are less informative after TRACE, consistent with price transparency reducing incentives for informed traders to participate in the market.
Author : Malachy Edward English
Publisher :
ISBN 13 :
Total Pages : 97 pages
Book Rating : 4.:/5 (957 download)
Download or read book A Re-Assessment of the Importance of Accounting Data to the Corporate Bond Market written by Malachy Edward English and published by . This book was released on 2015 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation evaluates the importance of the uncapped Enhanced TRACE dataset that has previously been rarely used within academic literature. In doing so I answer two important questions, one relevant to academic researchers, and one relevant to financial regulators. First, how economically significant are the differences between the Enhanced TRACE dataset and the Historic TRACE dataset that has been used previously? Secondly, are these differences a result of informed trading, and thus potentially in need of the protection provided by the caps currently imposed by TRACE? I find striking differences between the two datasets. Hidden volume in the periods preceding earnings announcements occurs frequently and is large in size, often exceeding 30% of total volume in the period. Despite this, I find little evidence to suggest that this trading volume is driven by informed investors. The hidden volume shows little ability to anticipate the news in earnings announcements and appears to be somewhat randomly distributed throughout time. My research suggests that researchers should move away from the Historic TRACE dataset and instead utilize the new Enhanced TRACE dataset when examining corporate bond markets. In addition, my research, suggests that large block trades typically are not informed. This provides preliminary evidence supporting the view, held by many market participants, that regulators should remove the currently imposed TRACE dissemination caps. My research supports the claims of these market participants that the caps simply inhibit investors from accurately assessing the quality of trade execution they have received from broker-dealers.
Author : William F. Maxwell
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (129 download)
Download or read book Transparency and the Corporate Bond Market written by William F. Maxwell and published by . This book was released on 2009 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: The U.S. corporate bond market underwent a fundamental change with the introduction of TRACE in 2002. Beginning on that date, bond dealers were required to report all trades in publicly-issued corporate bonds to the National Association of Security Dealers, which in turn made transaction data available to the public. In this paper, we assess the impact of the increase in transparency on the corporate bond market. Investors have benefited from the increased transparency, through substantial reductions in the bid-ask spreads that they pay to bond dealers to complete trades. Conversely, bond dealers have experienced reductions in employment and compensation, and dealers' trading activities have moved toward alternate securities, including syndicated bank loans and credit default swaps. The primary complaint against TRACE is that trading is more difficult as dealers are reluctant to carry inventory and no longer share the results of their research. In essence, the cost of trading corporate bonds decreased, but so did the quality and quantity of the services formerly provided by bond dealers. The debate regarding optimal transparency of the corporate bond markets continues, and the question of what degree of transparency in security markets is desirable will remain the subject of study and debate for the foreseeable future.
Author : Louis H. Ederington
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (13 download)
Download or read book Dealer Spreads in the Corporate Bond Market written by Louis H. Ederington and published by . This book was released on 2014 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: Utilizing the large subset of trades in which dealers act purely as agents, we decompose dealer spreads in U.S. corporate bond OTC markets into components arising from: 1) dealers' market-making role, and 2) their role as agents for their non-dealer customers. We investigate the determinants of both components. We find that agent-related spreads are large and comparable in magnitude to market-making spreads. In their role as agents, dealers face liquidity-search and customer interface costs, while in their role as market makers they face inventory and asymmetric information costs. Consistent with this, we find that while market-making spreads are strongly correlated with market risk variables, agent-related spreads are not, depending instead on liquidity driven variables. While market-making spreads are inversely related to trade size, agent-related spreads increase with trade size before leveling off and then declining -- possibly indicating that agent-dealers devote lesser search time to relatively smaller trades. While market-making dealer spreads are positively correlated with risk variables, whether trading directly with non-dealer customers or with dealers acting purely as agents, the difference between the former and the latter is negatively correlated with risk variables implying that market-making dealers benefit more from direct interaction with traders when risk and information asymmetry is higher, consistent with dealers deriving information-related benefits from their customer interface. Except for very small trades, explicit transaction costs of non-dealer customers are lower when they trade directly with market-making dealers than when they route trades through a dealer acting purely as an agent. Finally, we show that existing studies have underestimated average overall trading costs in the corporate bond market by conflating the spreads of dealers acting purely as agents with full dealer spreads that include both agent and market making costs. Given our findings on the size and economic determinants of agent-related dealer costs, our results have significant implications for the extensive empirical literature on dealer spreads in other OTC markets.
Author : Siri Valseth
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (13 download)
Download or read book Informed Trading in Hybrid Bond Markets written by Siri Valseth and published by . This book was released on 2018 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: I study the impact of pretrade transparency on trading activity in an environment where dealers, informed and uninformed alike, can choose between an electronic limit order book (LOB) and an over-the-counter (OTC) market. By investigating bond dealers' choice in the hybrid Norwegian government bond market, I explore whether they adopt a trading strategy based on the perceived informativeness of their trades. The results imply that bond dealers act strategically to preserve the value of their information by choosing the immediacy of the LOB when trades contain information. This suggests that OTC trades are exposed to a leakage of information to other dealers.
Author : Moorad Choudhry
Publisher : John Wiley & Sons
ISBN 13 : 1118178998
Total Pages : 603 pages
Book Rating : 4.1/5 (181 download)
Download or read book Corporate Bond Markets written by Moorad Choudhry and published by John Wiley & Sons. This book was released on 2011-12-14 with total page 603 pages. Available in PDF, EPUB and Kindle. Book excerpt: Moorad continues to demonstrate his financial expertise, and shows us why he is one of the best-selling authors in our industry today. - Eric Subliskey, Vice President, Short-Term Fixed Income JPMorgan Securities inc., New York An invaluable reference work for anyone connected with the corporate debt markets, be they issuer, investor or trader. Dr Choudhry writes in his trademark accessible style and provides the reader with a wealth of data and insight on the latest market products and techniques. Highly-recommended. - Ketul Tanna, Assistant Vice President, Market Risk Management JPMorgan Chase Bank, London The Predominant fixed income author is back with this updated version of Corporate Bond Markets. A Comprehensive work on fixed income products and applications, this book is a valuable reference text and teaching tool. Why go anywhere else for bond market information? - Rod Pienaar, Research Partner YieldCurve.com
Author : Dong Lou
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (117 download)
Download or read book Informed Trading in Government Bond Markets written by Dong Lou and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yifei Mao
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (13 download)
Download or read book Price Discovery in the Stock and Corporate Bond Markets written by Yifei Mao and published by . This book was released on 2014 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses intraday U.S. bond transaction and stock quote data to investigate whether corporate bonds lead stocks in price discovery of underlying firm value. I use Hasbrouck's (1995) "information share" approach to determine the relative contribution of corporate bonds to price discovery. Based on a sample of 214 firms, I find that corporate bond markets contribute 12.6% on average to price discovery from 2009 to 2011. Corporate bond market price discovery increases with the riskiness of the underlying firm value, and is related to contemporaneous market conditions. The findings are consistent with the informed trading theory and Merton (1973) model.
Author : Hendrik Bessembinder
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.:/5 (13 download)
Download or read book Capital Commitment and Illiquidity in Corporate Bonds written by Hendrik Bessembinder and published by . This book was released on 2017 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study trading costs and dealer behavior in U.S. corporate bond markets from 2006 to 2016. Despite a temporary spike during the financial crisis, average trade execution costs have not increased notably over time. However, alternative measures, including dealer capital commitment over various time horizons, turnover, block trade frequency, and average trade size not only decreased during the financial crisis, but continued to decline afterward. We find that these declines are attributable to bank-affiliated dealers, as non-bank dealers have increased their market commitment. The evidence shows that liquidity provision in the corporate bond markets is evolving away from the traditional commitment of bank-affiliated dealer capital to absorb customer imbalances, and supports the interpretation that post-crisis banking regulations likely contributed.
Author : Lawrence Harris
Publisher :
ISBN 13 :
Total Pages : 79 pages
Book Rating : 4.:/5 (13 download)
Download or read book Transaction Costs, Trade Throughs, and Riskless Principal Trading in Corporate Bond Markets written by Lawrence Harris and published by . This book was released on 2015 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study analyzes the costs of trading bonds using previously unexamined quotations data consolidated across several electronic bond trading venues. Much bond market trading is now electronic, but the benefits largely accrue to dealers because their customers often do not trade at the best available prices. The trade through rate is 43%; the riskless principal trade (RPT) rate is above 42%; and 41% of customer trade throughs appear to be RPTs. Average customer transaction costs are 85 bp for retail-size trades and 52 bp for larger trades. Estimated total transaction costs for the year ended March 2015 are above $26 billion, of which about $0.5 billion is due to trade-through value while markups on customer RPTs transfer $0.7 billion to dealers. Small changes in bond market structure could substantially improve bond market quality.
Author : Robert F Emery
Publisher : Routledge
ISBN 13 : 0429965346
Total Pages : 384 pages
Book Rating : 4.4/5 (299 download)
Download or read book The Bond Markets Of Developing East Asia written by Robert F Emery and published by Routledge. This book was released on 2018-02-23 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive book provides detailed descriptions and analysis of the bond markets in eight East Asian developing economies: Hong Kong, Indonesia, South Korea, Malaysia, the Philippines, Singapore, Taiwan, and Thailand. Drawing on the most recent data available, Emery assesses the strengths and weaknesses of each countrys bond market, concluding with comparisons of the eight countries bond markets. The book will be an invaluable reference for economists, policymakers, and all those interested in emerging capital markets. }Drawing on the most recent data available, this comprehensive book provides detailed descriptions and analysis of the bond markets in eight East Asian developing economies: Hong Kong, Indonesia, South Korea, Malaysia, the Philippines, Singapore, Taiwan, and Thailand. Robert Emery devotes a full chapter to evaluating the strengths and weaknesses of each countrys bond market. For each country, Emery describes the history of the bond market and identifies its key participants, the different types of bonds, and the current terms for bond issues. He also discusses the size of the bond market, the bond issuing process, trading procedures and the structure of the market, the clearing and settlement system, and fees and taxes. Finally, he lists the regulators of the market, current regulations, and bond rating agencies; assesses the markets past performance; and offers suggestions for improvement.Each country chapter is organized into a standard format, making it easy for the reader to locate and compare specific information. Emery concludes the book with cross-country comparisons of the eight countries bond markets. It will be an invaluable reference for economists, policymakers, and all those interested in emerging capital markets. }
Author : Marco Di Maggio
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (951 download)
Download or read book The Value of Trading Relationships in Turbulent Times written by Marco Di Maggio and published by . This book was released on 2016 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates how dealers trading relationships shape their trading behavior in the corporate bond market. Dealers charge lower spreads to dealers with whom they have the strongest ties, and more so during periods of market turmoil. Systemically important dealers exploit their connections at the expense of peripheral dealers as well as clients, charging higher markups than to other core dealers. We also show that intermediation chains lengthened by 20 percent following the collapse of a flagship dealer in 2008, and even more for institutions strongly connected to this dealer. Finally, dealers drastically reduced their inventory during the crisis.
