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Price formation in the OTC corporate bond markets: a field study of the inter-dealer market

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  • Saunders, Anthony
  • Srinivasan, Anand
  • Walter, Ingo

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  • Saunders, Anthony & Srinivasan, Anand & Walter, Ingo, 2002. "Price formation in the OTC corporate bond markets: a field study of the inter-dealer market," Journal of Economics and Business, Elsevier, vol. 54(1), pages 95-113.
    • Handle: RePEc:eee:jebusi:v:54:y:2002:i:1:p:95-113
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    1. Nunn, Kenneth P. & Hill, Joanne & Schneeweis, Thomas, 1986. "Corporate Bond Price Data Sources and Return/Risk Measurement," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(2), pages 197-208, June.
    2. Warga, Arthur & Welch, Ivo, 1993. "Bondholder Losses in Leveraged Buyouts," The Review of Financial Studies, Society for Financial Studies, vol. 6(4), pages 959-982.
    3. Harris, Milton & Raviv, Artur, 1981. "Allocation Mechanisms and the Design of Auctions," Econometrica, Econometric Society, vol. 49(6), pages 1477-1499, November.
    4. Holt, Charles A, Jr, 1979. "Uncertainty and the Bidding for Incentive Contracts," American Economic Review, American Economic Association, vol. 69(4), pages 697-705, September.
    5. Alexander, Gordon J. & Edwards, Amy K. & Ferri, Michael G., 2000. "The determinants of trading volume of high-yield corporate bonds," Journal of Financial Markets, Elsevier, vol. 3(2), pages 177-204, May.
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    Cited by:

    1. Angeles de Frutos, M. & Manzano, Carolina, 2005. "Trade disclosure and price dispersion," Journal of Financial Markets, Elsevier, vol. 8(2), pages 183-216, May.
    2. Ricardo Lagos & Guillaume Rocheteau, 2006. "Search in asset markets," Staff Report 375, Federal Reserve Bank of Minneapolis.
    3. Ricardo Lagos & Guillaume Rocheteau, 2009. "Liquidity in Asset Markets With Search Frictions," Econometrica, Econometric Society, vol. 77(2), pages 403-426, March.
    4. Ronen, Tavy & Zhou, Xing, 2013. "Trade and information in the corporate bond market," Journal of Financial Markets, Elsevier, vol. 16(1), pages 61-103.
    5. Mark Fedenia & Tavy Ronen & Seunghan Nam, 2024. "Machine learning and trade direction classification: insights from the corporate bond market," Review of Quantitative Finance and Accounting, Springer, vol. 63(1), pages 1-36, July.
    6. Guillaume Rocheteau & Lucie Lebeau & Tai-Wei Hu & Younghwan In, 2018. "Gradual Bargaining in Decentralized Asset Markets," Working Papers 181904, University of California-Irvine, Department of Economics.
    7. Sun, David & Lin, William T. & Nieh, Chien-Chung, 2007. "Long run credit risk diversification: empirical decomposition of corporate bond spreads," MPRA Paper 37283, University Library of Munich, Germany, revised Jul 2008.
    8. Zhuo Zhong & Kei Kawakami, 2016. "The Risk Sharing BenefiÂ…t versus the Collateral Cost: The Formation of the Inter-Dealer Network in Over-the-Counter Trading," 2016 Meeting Papers 822, Society for Economic Dynamics.

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