Inventory Management by Corporate Bond Dealers PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Inventory Management by Corporate Bond Dealers PDF full book. Access full book title Inventory Management by Corporate Bond Dealers by Paul Schultz. Download full books in PDF and EPUB format.
Author: Paul Schultz
Publisher:
ISBN:
Category :
Languages : en
Pages : 40
Get Book Here
Book Description
In over-the-counter markets, dealer willingness to hold inventory is synonymous with liquidity provision. Using actively-traded corporate bonds over 2005-2014, I show that dealers often avoid taking bonds into inventory by prearranging trades. Dealers who take longer to unwind inventory prearrange more trades. Investors receive higher prices selling to dealers who prearrange trades and pay lower prices buying from them. Dealers unwind inventory mostly through interdealer trades. After the Volcker Rule was finalized, dealers were more reluctant to takes bonds into inventory, were more likely to offset trades within a day, and unwound inventory positions more quickly.
Author: Paul Schultz
Publisher:
ISBN:
Category :
Languages : en
Pages : 40
Get Book Here
Book Description
In over-the-counter markets, dealer willingness to hold inventory is synonymous with liquidity provision. Using actively-traded corporate bonds over 2005-2014, I show that dealers often avoid taking bonds into inventory by prearranging trades. Dealers who take longer to unwind inventory prearrange more trades. Investors receive higher prices selling to dealers who prearrange trades and pay lower prices buying from them. Dealers unwind inventory mostly through interdealer trades. After the Volcker Rule was finalized, dealers were more reluctant to takes bonds into inventory, were more likely to offset trades within a day, and unwound inventory positions more quickly.
Author: Nils Friewald
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
Get Book Here
Book Description
Inventory models of dealership markets imply that intermediaries reduce their exposure to inventory risk by offering prices different from fundamental values. Therefore, inventory levels should affect asset prices and thus returns. We explore the cross-sectional relation between US corporate bond inventories and returns. Our findings provide strong support for the asset pricing implication of inventory models, that is, the risk-adjusted return of a high-minus-low inventory-sorted portfolio is 21 basis points per week. Furthermore, we examine several drivers of the inventory risk premium; for example, we emphasize the importance of inventory risk sharing in pricing bonds.
Author: Jean-Pierre Casey
Publisher: CEPS
ISBN: 9290795964
Category : Business & Economics
Languages : en
Pages : 142
Get Book Here
Book Description
Assessing regulatory measures taken at the EU level that impact European bond markets, this book examines the desirability, utility, and feasibility of certain policy measures.
Author: MICHAEL. JACKSON BARR (HOWELL. TAHYAR, MARGARET.)
Publisher: Foundation Press
ISBN: 9781640202498
Category :
Languages : en
Pages : 1412
Get Book Here
Book Description
Financial Regulation: Law and Policy (2d Edition) introduces the field of financial regulation in a new and accessible way. Even though a decade has passed since the most systemic financial crisis in the last 70 years and eight years have elapsed since a major shift in regulatory design, the world is still grappling with the aftermath. In addition, technology innovations, including Bitcoin and other cryptocurrencies, market forces and a changing political environment all have combined to reframe and reorient public debate over financial regulation. The book has kept up to date with all of these changes. The book analyzes and compares the market and regulatory architecture of the entire U.S. financial sector as it exists today, from banks, insurance companies, and broker-dealers, to asset managers, complex financial conglomerates, and government-sponsored enterprises. The book explores a range of financial activities, from consumer finance and investment to payment systems, securitization, short-term wholesale funding, money markets, and derivatives. The book examines a range of regulatory techniques, including supervision, enforcement, and rule-writing, as well as crisis-fighting tools such as resolution and the lender of last resort. Throughout the book, the authors note the cross-border implications of U.S. rules, and compare, where appropriate, the U.S. financial regulatory framework and policy choices to those in other places around the globe, especially the European Union.
Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
ISBN: 0471446394
Category : Business & Economics
Languages : en
Pages : 336
Get Book Here
Book Description
Praise for Managing a Corporate Bond Portfolio "Crabbe and Fabozzi's Managing a Corporate Bond Portfolio is a refreshingly good book on the neglected topic in fixed income portfolio management. If you want to understand the latest thinking in corporate bonds, what drives prices and why, read this book. You will emerge with knowledge that will help you get an edge in the competitive investing arena." -Tim Opler Director, Financial Strategy Group, CSFB "A practitioner's guide . . . a creative, comprehensive, and practical book that addresses the myriad of challenges facing managers of corporate bond portfolios. The chapter on liquidity, trading, and trading costs is a must read." -Mary Rooney Head of Credit Strategy, Merrill Lynch "As a Senior Portfolio Manager responsible for managing billions of dollars invested in fixed income product during the mid-1990s, Lee Crabbe was the one Wall Street strategist that I would read every week to help me figure out where value was in the corporate bond market, and for insightful and easy-to-understand special reports that educated me and most investors on the risks and opportunities inherent in new structures and subordinated products. Fortunately for me and investors, Lee Crabbe and Frank Fabozzi have written this book, which compiles much of their previous work on corporate bond valuation, along with new features that are a must read, especially in light of the volatile times in the corporate bond market over the past few years. For portfolio managers, analysts, traders, and even strategists, if there is one book in your bookshelf that you should have on corporate bond portfolio management, it is this one." -William H. Cunningham Managing Director, Director of Credit Strategy, J.P. Morgan Securities Inc. www.wileyfinance.com
Author: Yakov Amihud
Publisher: Now Publishers Inc
ISBN: 1933019123
Category : Business & Economics
Languages : en
Pages : 109
Get Book Here
Book Description
Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Author: B. Scott-Quinn
Publisher: Palgrave Macmillan
ISBN: 9780230370470
Category : Business & Economics
Languages : en
Pages : 469
Get Book Here
Book Description
An introductory guide to finance and the financial markets, designed to help professionals and students understand the complex finance industry. It is a modern text that covers all major developments in markets in the period since the year 2000, the beginning of the global financial, eurozone and US government debt crises, up to the start of 2012.
Author:
Publisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 0
Get Book Here
Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 8
Get Book Here
Book Description
Author: Mr.Lars E. O. Svensson
Publisher: International Monetary Fund
ISBN: 1451853750
Category : Business & Economics
Languages : en
Pages : 76
Get Book Here
Book Description
The use of forward interest rates as a monetary policy indicator is demonstrated, using Sweden 1992-1994 as an example. The forward rates are interpreted as indicating market expectations of the time-path of future interest rates, future inflation rates, and future currency depreciation rates. They separate market expectations for the short-, medium-, and long-term more easily than the standard yield curve. Forward rates are estimated with an extended and more flexible version of Nelson and Siegel’s functional form.
