Over‐the‐Counter Market Frictions and Yield Spread Changes

Friewald, Nils; Nagler, Florian

doi:10.1111/jofi.12827

Cited by 94 publications

(17 citation statements)

References 104 publications

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“…Friewald and Nagler (2016) find that individual bonds in which dealers have higher net inventory have higher expected returns. More closely related to our paper, Friewald and Nagler (2019) show that proxies for inventory frictions such as aggregate net inventory and the TED spread have explanatory power for the cross section of credit spreads. Our study differs 4 For the equity market, prior literature finds mixed evidence on the roles of asymmetric information, investor demand, and dealer constraints in driving the liquidity risk premium and aggregate liquidity.…”

supporting

confidence: 77%

Liquidity Supply in the Corporate Bond Market

Goldberg¹,

Nozawa

2020

The Journal of Finance

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This paper examines dealer inventory capacity, or liquidity supply, as a driver of liquidity and expected returns in the corporate bond market. We identify shocks to aggregate liquidity supply using data on corporate bond yields and dealer positions. Liquidity supply shocks lead to persistent changes in market liquidity, are correlated with proxies for dealer financial constraints, and have significant explanatory power for cross‐sectional and time‐series variation in expected returns, beyond standard risk factors. Our findings point to liquidity supply by financially constrained intermediaries as a main driver of market liquidity and asset prices.

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supporting

confidence: 77%

Liquidity Supply in the Corporate Bond Market

Goldberg¹,

Nozawa

2020

The Journal of Finance

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“…They conclude that illiquidity risk is more important in explaining the increase in corporate yield spreads during the 2008 financial crisis than is credit risk. Friewald and Nagler (2020) find that time-varying measures of inventory, search, and bargaining frictions in the corporate bond market explain the systematic component of yield spread changes. Lin, Wang, and Wu (2011) report that the sensitivity of corporate bond returns to fluctuations in an aggregate corporate bond liquidity factor helps explain corporate bond yields, implying that systematic liquidity risk is relevant for bond valuation.…”

Section: Trading Costs and Equilibrium Asset Pricingmentioning

confidence: 83%

A Survey of the Microstructure of Fixed-Income Markets

Bessembinder¹,

Spatt

Venkataraman

2019

J. Financ. Quant. Anal.

103

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In this article, we survey the literature that studies fixed-income trading rules and outcomes, including Treasury securities, corporate and municipal bonds, and structured credit products. We compare and contrast the microstructure and regulation of fixed-income markets with equity markets. We highlight the nature of over-the-counter trading in the face of search costs and the associated slow evolution of electronically facilitated intermediation. We discuss the databases available to study fixed-income microstructure, as well as measures and determinants of trading costs, and the important roles dealer networks and limited transparency play. We also highlight unresolved issues.

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“…Among the topics, there resonated health protection (hygienic measures, for example, disinfection of shops, handles of shopping carts, installation of plexiglass at the cash registers, use of face masks and disposable gloves), opening hours (special time reserved for seniors, closing of stores on Sundays) and expressing thanks to employees or colleagues from Kaufland, whether working in shops or in logistic centres and administration. [13].The time allocated for shopping of seniors was changed several times, whether from the initiative of traders, negative reactions from the public or decisions of the Slovak government. In the comments of customers on various contributions, but primarily on the posts with the topics of measures, there was a heated discussion about the number of people allowed in stores, noncompliance with distance-keeping, excessive purchases, closing stores on Sundays, or measures taken abroad.…”

Section: Resultsmentioning

confidence: 99%

Marketing Communication of Multinational Retail Chain during Global Pandemic in the Online Environment

Kollárová

Ungerová

2021

SHS Web of Conf.

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Research background: The epidemic that has hit us on a global scale has had a negative impact not only on the work-related, social, and personal lives of each individual or household, but also on the economies of different countries and, last but not least, on decision-making of companies. One of the areas in which we noticed clearly the influence of the pandemic was the communication of retail chains with their customers: e.g., Kaufland stopped the unaddressed distribution of its promotional leaflets and tried to redirect the interest of customers to the digital (online) environment. With our paper we respond to this measure. The object of our research is the posts of the multinational retail chain Kaufland published on its Facebook account, intended for customers on the Slovak and German markets, during the period when a state of emergency was imposed in Slovakia. Purpose of the article: The main purpose of the content analysis is to find out the topics of the online contents of the retail chain Kaufland in Slovakia in communication with customers during an emergency state on its Facebook pages and compare them with the topics of articles posted during the observed period on the company´s Facebook pages in Germany. Methods: Digital contents are divided into contributions related and not related to the pandemic. As Germany did not impose general restrictions, we found out that in comparison with Slovakia, some themes related to the health protection or social responsibility did not appear on the Facebook pages of Kaufland in Germany. Findings & Value added: Conversely, Kaufland Slovakia did not assure customers that stores were regularly supplied and customers did not have to fall into purchasing hysteria, did not encourage customers to move to digital (online) environment and also did not publish job offers (for temporary work) in its shops or by its suppliers. The number of pandemic-related posts has been declining over the examined period.

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Over‐the‐Counter Market Frictions and Yield Spread Changes

Cited by 94 publications

References 104 publications

Liquidity Supply in the Corporate Bond Market

Liquidity Supply in the Corporate Bond Market

A Survey of the Microstructure of Fixed-Income Markets

Marketing Communication of Multinational Retail Chain during Global Pandemic in the Online Environment

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