PhD defence: Davide Tomio

In order to obtain the PhD degree, Davide Tomio submitted his thesis entitled: Essays on Arbitrage and Market Liquidity

Thursday, May 11, 2017 - 12:30 to 14:30

This dissertation consists of three essays aimed at understanding what drives market liquidity and the mispricing between securities connected by arbitrage. The first sets the stage by investigating how credit risk affects bond market liquidity. The second essays considers the market liquidity of an asset together with that of a second asset, to which the first is connected by an arbitrage relationship. The third essay considers how the liquidity spills over between two securities connected by arbitrage, focusing on the propagation of a liquidity shock and show how a large buying pressure exerted by an exceptional trader (a central bank) affects the pricing relation between two securities and how the illiquidity arising in one market is transferred to the other.

Primary Supervisor:
Professor Lasse Heje Pedersen
Department of Finance
Copenhagen Business School

Secondary Supervisor:
Professor Søren Hvidkjær
Department of Finance
Copenhagen Business School

Assessment Committee:
Associate Professor Ulf Nielsson
Department of Finance
Copenhagen Business School

Associate Professor Katya Malinova
Department of Economics
University of Toronto

Associate Professor Michael Halling
Department of Finance
Stockholm School of Economics

The thesis will be available from

The Doctoral School of Economics and Management will host a reception, which will take place immediately after the defence in Rotunden at Solbjerg Plads 3.

Organised by The Doctoral School of Economics and Management

Copenhagen Business School
Solbjerg Plads 3
2000 Frederiksberg

The page was last edited by: Communications // 10/08/2019