Solbjerg Plads 3
Frederiksberg, DK-2000
Denmark
Copenhagen Business School - Department of Finance
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Enhanced TRACE data; Error filter; SAS code
asset pricing, factors, data mining, replication, multiple testing, external validity JEL Codes: G11, G12, G14, G32, G4, C5
Corporate bonds, Liquidity, Liquidity risk, Subprime crisis
Corporate bonds, Yield spreads, Liquidity, Subprime Crisis, TRACE
Academic TRACE data, Error filter, SAS code
Dealer inventory, Lehman/Barclay bond index, Market making, Transaction costs, Dodd-Frank Act
Offshore outsourcing, cost reduction, innovation, experiential learning, low-cost countries
Bank funding; Cost of equity; Total cost of capital; Capital requirements; Government subsidies.
Dealer network, dealer inventory, search frictions, transaction costs
Convertible bonds, arbitrage crashes, market segmentation, slow moving capital, investment mandates
Bank equity, Capital requirements, equity risk, bank debt, market-to-book ratio
Bank regulation, Cost of capital, Capital requirements, Modigliani-Miller, Conservation of Risk
Short-term reversals, Lehman/Barclay bond index, Liquidity Provision, Illiquid Market, TRACE
Underwriter relationship; Corporate bonds; Certification; Rollover risk; Relationship banking
Bond Market Liquidity, Government Bonds, Covered Bonds, Price Impact
Credit spreads, risk premia, financial institutions, systematic risk, bond beta
Interest Rate Risk, Uninsured Depositors, Bank Runs, Capital Regulation, Unrealized Losses
Dividend Tax; Capital Gains Tax; Cash holdings; Agency Costs; Tax Savings Motive
Mortgage bonds, Covered bonds, Housing crisis, Market design, Banking regulation, Financial intermediation
corporate bonds, liquidity, TRACE, bias, error filter
