予定表 -詳細情報-
| 件名 | WS 宮川大介氏 |
| 開始日時 | 2010年 11月 25日 (木曜日) 16時30分 (GMT+09:00) |
| 終了日時 | 2010年 11月 25日 (木曜日) 18時00分 (GMT+09:00) |
| 場所 | 1号館401号室 |
| 詳細 | 【日時】：2010年11月25日（木）16:30〜18:00 【報告者】：宮川大介氏（政策投資銀行） 【タイトル】：Walking After Midnight: Measurements and Pricing Implications of Market Liquidity on Corporate Bonds 【場所】：1号館401教室 【Abstract】 This paper proposes a theoretically motivated proxy for the degree of market liquidity in corporate bond market (GAP: the highest minus lowest simultaneously reported spreads among multiple market makers), and studies its pricing implication by quantifying the correlation between GAP and the median reported spreads, which presumably approximate market prices conjectured by market makers. We find that (i) inclusion of the lagged GAP to the standard multi-factor model significantly improves the explanation power, (ii) the quantitative impact of such an illiquidity measure on bond spreads becomes larger as credit ratings get worse, (iii) the GAP proxy is valid even after controlling the persistency on spreads, which has been considered as another proxy for illiquidity in the extant literature (i.e., resiliency), and (iv) the degree of such persistency increases as the credit ratings of corporate bonds deteriorate. ※This talk will be given by English. |
| カテゴリー | ワークショップ・セミナー |
