Essays on corporate bond market liquidity and dealer behavior

Andreas Rapp

Research output: ThesisDoctoral ThesisScientific

88 Downloads (Pure)

Abstract

The thesis consists of three chapters and studies the role of corporate bond dealers as liquidity providers in decentralized over-the-counter markets. The first two empirical chapters explore the impact of dealers' inventory financing constraints on their ability to act as middlemen in corporate bond markets. Specifically, the first chapter provides empirical evidence that dealers' financing constraints are a crucial determinant of the costs of their liquidity provision. The second chapter demonstrates that bonds handled by dealers with higher financing constraints are associated with substantially larger and abrupt price declines and slower price reversals in case of a rating downgrade from investment to non-investment grades. The third theoretical chapter studies the effects of post-trade disclosure on a dealer's dynamic trading strategy in a two-period dealership market and shows that in terms of customer welfare neither a regime with full nor one without post-trade transparency is universally dominating.
Original languageEnglish
QualificationDoctor of Philosophy
Supervisors/Advisors
  • de Jong, Frank, Promotor
  • Castiglionesi, Fabio, Promotor
Award date12 Nov 2018
Place of PublicationTilburg
Publisher
Print ISBNs978 90 5668 574 4
Publication statusPublished - 2018

Fingerprint

Corporate bonds
Dealers
Bond market
Market liquidity
Financing constraints
Middlemen
Rating
Disclosure
Trading strategies
Empirical evidence
Price reversal
Liquidity
Liquidity provision
Transparency
Costs

Cite this

Rapp, A. (2018). Essays on corporate bond market liquidity and dealer behavior. Tilburg: CentER, Center for Economic Research.
Rapp, Andreas. / Essays on corporate bond market liquidity and dealer behavior. Tilburg : CentER, Center for Economic Research, 2018. 177 p.
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Rapp, A 2018, 'Essays on corporate bond market liquidity and dealer behavior', Doctor of Philosophy, Tilburg.

Essays on corporate bond market liquidity and dealer behavior. / Rapp, Andreas.

Tilburg : CentER, Center for Economic Research, 2018. 177 p.

Research output: ThesisDoctoral ThesisScientific

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Rapp A. Essays on corporate bond market liquidity and dealer behavior. Tilburg: CentER, Center for Economic Research, 2018. 177 p. (CentER Dissertation Series).