Forschungsseminar "Quantitative Wirtschaftsforschung"Unser nächster Gast

24 April 2018

Am Dienstag, den 24. April 2018, ist Frau Professorin Antje Berndt, PhD, mit einem Vortrag zum Thema

"Dealer Inventory, Short Interest and Price Efficiency in the Corporate Bond Market"

zu Gast in unserem Forschungsseminar "Quantitative Wirtschaftsforschung".

Frau Professorin Berndt forscht und lehrt zum Schwerpunkt Finanzwissenschaften an der Research School of Finance, Actuarial Studies and Statistics der Australian National University.

ABSTRACT
We propose a model of trading in the over-the-counter corporate bond market where investors can buy and sell bonds through a dealer and can short bonds by borrowing them in the securities lending market. The model predicts that higher dealer inventory costs are associated with lower short interest for bonds, particularly for high-credit-quality bonds. We construct bond-level proxies for inventory costs and provide empirical evidence in support of the model’s prediction. We find that much of the dramatic decline in short interest observed since the Great Financial Crisis (GFC) can be explained by an increase in proxies for inventory costs. We document that implicit short-sale constraints imposed by higher dealer inventory costs have a negative impact on price efficiency in the corporate bond market. Our findings suggest that tighter post-GFC regulation may have had unintended consequences for bond market quality.

Wir freuen uns auf Ihre Teilnahme und eine anregende Diskussion.

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Forschungsseminar "Quantitative Wirtschaftsforschung"
Dienstags, 12:15 s.t. - 13:45 Uhr
Von-Melle-Park 5
Raum 0029 (Eingang D, EG)
Vortragssprache ist Englisch