European corporate bond liquidity and yield spreads

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi Pukka, Juhamatti 2011-11-14T11:23:35Z 2011-11-14T11:23:35Z 2010
dc.description.abstract PURPOSE OF THE STUDY The purpose of this study is to provide new empirical evidence on European corporate bond liquidity determinants and the liquidity effect on yield spreads. European corporate bond market is mostly ignored in corporate bond liquidity literature and this thesis’ purpose is to contribute to literature by being among the first papers to estimate liquidity determinants with comprehensive European corporate bond data, covering both investment grade and speculative grade rating categories. DATA The corporate bond data is from years 2005 – 2009 covering all credit ratings. Corporate bond pricing, rating, and descriptive data is obtained from Bank of America Merrill Lynch. The sample consists of euro denominated corporate bonds with the amount outstanding more than 250 million euros for investment grade bonds and 100 million for speculative grade bonds. The total number of unique bonds is 2589 bonds, with the total number of bond-years amounting to 7073. Bond bid and ask quotations, company level information, and macroeconomic data is obtained from Bloomberg. RESULTS The results indicate liquidity to be priced in the corporate bond yield spreads. Liquidity measures bid-ask spread and percentage of zero return days are capturing the liquidity effect for investment grade bonds effectively. For speculative grade bonds, liquidity measures are capturing liquidity with the pre-crisis sample-period effectively. Liquidity proxy portfolio analysis shows liquidity premiums to be time-varying and dependent on credit market conditions. en
dc.format.extent 106
dc.language.iso en en
dc.title European corporate bond liquidity and yield spreads en
dc.type G2 Pro gradu, diplomityö fi Kauppakorkeakoulu fi School of Economics en
dc.contributor.department Department of Accounting and Finance en
dc.contributor.department Laskentatoimen ja rahoituksen laitos fi
dc.subject.keyword Corporate bond
dc.subject.keyword Liquidity
dc.subject.keyword Yield spread
dc.subject.keyword European corporate bond market
dc.subject.keyword Credit rating
dc.subject.keyword Investment grade
dc.subject.keyword Speculative grade
dc.identifier.urn URN:NBN:fi:aalto-201111181412
dc.type.dcmitype text en
dc.programme.major Finance en
dc.programme.major Rahoitus fi
dc.type.ontasot Master's thesis en
dc.type.ontasot Pro gradu tutkielma fi
dc.subject.helecon rahoitus
dc.subject.helecon financing
dc.subject.helecon rahoitusmarkkinat
dc.subject.helecon financing markets
dc.subject.helecon likviditeetti
dc.subject.helecon liquidity
dc.subject.helecon lainat
dc.subject.helecon loans
dc.subject.helecon korko
dc.subject.helecon interest
dc.subject.helecon luotto
dc.subject.helecon credit
dc.ethesisid 12368 2010-09-08
dc.location P1 I

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