Date of Award
Ph.D. in Business Administration
Robert A. Van Ness
In Part 1, we study the impact of bond exchange listing in the US publicly traded corporate bond market. Overall, we find that listed corporate bonds have lower bid-ask spreads than unlisted corporate bonds. We specifically show that listed bond spreads are $0.14 lower than unlisted bond spreads. We find that execution venue matters for listed bonds, and that listed bond trades that execute on the NYSE have higher trading costs than listed bond trades that execute off-NYSE. We show that listed bonds are more volatile than unlisted bonds. Lastly, we study bond trading around earnings announcements. We find no evidence that listing influences institutional (or large trading) activity in bonds. In Part 2, we study municipal bond market activity before, during, and after natural disasters (tornados, wildfires, and hurricanes/tropical storms). Using a sample of municipal bond trades from 2010 to 2013, we find that natural disasters influence municipal bond trading. Specifically, we show that spreads are lower on both tornado and wildfire event days and during following five trading days than during the preceding five trading days. While we do not document a relation between hurricane events and spreads, we show that spreads fall during the five days following the hurricane compared to the five trading days before the event. Generally, we document an increase in dollar volume in the five trading days following all three types of natural disasters. We also determine that linkages exist between the bonds affected by natural disasters and related bonds. In Part 3, we study municipal bond trading activity before, during, and after announcements of government officials’ misconduct. Using a sample of over 39,000,000 trades in nearly 500,000 bonds, we find that spreads are higher on news, indictment announcement, and trial verdict announcement days than other trading days. Spreads remain elevated through the five trading days following the announcement. We also find that large bond trades account for the majority of price discovery on event days. Overall, our results establish a link between government officials, their misconduct, and municipal bond markets.
Cole, Brittany, "Three Essays On Bond Trading" (2015). Electronic Theses and Dissertations. 563.