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Essays on corporate bond pricing and...

Ma, Yuan.

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Essays on corporate bond pricing and insider trading regulation.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on corporate bond pricing and insider trading regulation./
作者:	Ma, Yuan.
面頁冊數:	162 p.
附註:	Source: Dissertation Abstracts International, Volume: 63-02, Section: A, page: 0699.
Contained By:	Dissertation Abstracts International63-02A.
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoeng/servlet/advanced?query=3044579
ISBN:	0493584544

Essays on corporate bond pricing and insider trading regulation.
Ma, Yuan.

Essays on corporate bond pricing and insider trading regulation. - 162 p.

Source: Dissertation Abstracts International, Volume: 63-02, Section: A, page: 0699.

Thesis (Ph.D.)--University of California, Berkeley, 2001.

Chapter 1 studies the empirical pattern of a corporate bond's volatility as a function of the firm's leverage ratio, and it aims to test Merton's contingent claims model for pricing corporate bonds. Cross-sectionally, we find (1) no evidence that either corporate bond volatility or its ratio to stock volatility is significantly positively correlated with a firm's leverage ratio, and (2) weak evidence that a corporate bond's volatility is positively correlated with its duration and negatively correlated with its trading frequency. We also study how a corporate bond's volatility changes over time when the firm's leverage ratio changes.

ISBN: 0493584544Subjects--Topical Terms:

626650
Economics, Finance.

Essays on corporate bond pricing and insider trading regulation.
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500 $a Source: Dissertation Abstracts International, Volume: 63-02, Section: A, page: 0699.
500 $a Co-Chairs: Matthew Spiegel; Gregory R. Duffee.
502 $a Thesis (Ph.D.)--University of California, Berkeley, 2001.
520 $a Chapter 1 studies the empirical pattern of a corporate bond's volatility as a function of the firm's leverage ratio, and it aims to test Merton's contingent claims model for pricing corporate bonds. Cross-sectionally, we find (1) no evidence that either corporate bond volatility or its ratio to stock volatility is significantly positively correlated with a firm's leverage ratio, and (2) weak evidence that a corporate bond's volatility is positively correlated with its duration and negatively correlated with its trading frequency. We also study how a corporate bond's volatility changes over time when the firm's leverage ratio changes.
520 $a Chapter 2 extends our empirical tests to a more sophisticated contingent claims model by Leland and Toft. In support of the theoretical model, we find evidence that (1) the effective duration of a corporate bond is much less than its Macaulay duration, (2) the difference between the effective duration and Macaulay duration of a corporate bond is an increasing function of the firm's leverage ratio, and (3) the yield spread change is negatively correlated with the risk-free interest change, especially for high yield bonds. However, we find that intraday high volatility periods are associated with low returns, and such a pattern does not support the theoretical model.
520 $a Chapter 3 studies how public disclosure of insiders' trades affects competition among informed insiders in a dynamic Kyle model. Under disclosure, an insider follows a randomized trading strategy to hide his information. While disclosure always improves the market's informational efficiency, its effect on liquidity and insiders' profits depends on the correlation of insiders' signals. With positively correlated signals, disclosure reduces insiders' profits and makes the market more liquid, but the conclusion can be reversed with sufficiently negatively correlated signals. Finally, we also examine how competition affects insiders' trading strategies under disclosure.
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