Tid: 6 mars 2014 kl 1100-12.00.Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedtsvägen 25, plan 7. Karta!
Föredragshållare: Peter Nguyen Andersson
Titel: Liquidity and corporate bond pricing on the Swedish market (Master Thesis)
Abstract In this thesis a corporate bond valuation model based on Dick-Nielsen, Feldhütter, and Lando (2011) and Chen, Lesmond, and Wei (2007) is examined. The aim is for the model to price corporate bond spreads and in particular capture the price effects of liquidity as well as credit risk. The valuation model is based on linear regression and is conducted on the Swedish market with data provided by Handelsbanken. Two measures of liquidity are analyzed: the bid-ask spread and the zero-trading days. The investigation shows that the bid-ask spread outperforms the zero-trading days in both significance and robustness. The valuation model with the bid-ask spread explains 59% of the cross-sectional variation and has a standard error of 56 bps in its pricing predictions of corporate spreads. A reduced version of the valuation model is also developed to address simplicity and target a larger group of users. The reduced model is shown to maintain a large proportion of the explanation power while including fewer and simpler variables.
|Sidansvarig: Filip Lindskog