FRIC/Finance seminar with Nils Friewald, Norwegian School of Economics

On May 18, 2018, Nils Friewald, Norwegian School of Economics will be giving a seminar on the paper: "Over-the-Counter Market Frictions and Yield Spread Changes"

Friday, May 18, 2018 - 11:00 to 12:15

The Department of Finance is proud to announce the upcoming FRIC/Finance seminar with Nils Friewald, Norwegian School of Economics.

Nils Friewald will present: 

PDF iconOver-the-Counter Market Frictions and Yield Spread Changes

Authors:

Nils Friewald 
Florian Naglerk

Abstract

We empirically study how intermediation frictions in over-the-counter (OTC) markets affect asset prices. Using transactions data on U.S. corporate bonds, we find that inventory, search, and bargaining frictions capture 10 percentage points in the variation of yield spread changes beyond standard pricing factors. This result implies that these OTC market frictions account for one-third of the explained variation in yield spread changes. We show that the intermediation premium of dealers reflects the intensity of OTC market frictions. Overall, our results confirm the asset pricing implications

 

Location:

Solbjerg Plads 3, 20000 Frederiksberg
Room: SPs13

 

 

The page was last edited by: Department of Finance // 06/01/2018