CANCELLED: FRIC/Finance Seminar with René M. Stulz, The Ohio State University
The Department of Finance and FRIC, Center for Financial Frictions, are proud to announce the upcoming seminar with René M. Stulz, The Ohio State University.
René M. Stulz will present:
Is Post-Crisis Bond Liquidity Lower?
Price-based liquidity metrics are much better for small trades after the crisis than before the crisis. For large trades, these metrics are generally worse from 2010 to 2012 and better from 2013 to 2014 than from 2004 to 2006. However, turnover falls sharply after the crisis, which is consistent with investors having more difficulty completing trades on acceptable terms. A frequent concern is that post-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield increases, and downgrades to high yield. We find evidence that liquidity is lower after the crisis for extreme VIX increases. However, we find no evidence that liquidity related to idiosyncratic stress events is worse after the crisis than before the crisis. Our results emphasize the importance of considering how liquidity reacts to shocks which can affect financial stability and of taking into account the information from non-price liquidity metrics.
Solbjerg Plads 3,