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Price formation in the OTC corporate bond markets: a field study of the inter-dealer market

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  • Saunders, Anthony
  • Srinivasan, Anand
  • Walter, Ingo
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    File URL: http://www.sciencedirect.com/science/article/B6V7T-44VW07T-6/2/c91968b686aef90bf7b1c335a672b2e6
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Economics and Business.

    Volume (Year): 54 (2002)
    Issue (Month): 1 ()
    Pages: 95-113

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    Handle: RePEc:eee:jebusi:v:54:y:2002:i:1:p:95-113

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    Web page: http://www.elsevier.com/locate/jeconbus

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    References

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    1. Holt, Charles A, Jr, 1979. "Uncertainty and the Bidding for Incentive Contracts," American Economic Review, American Economic Association, vol. 69(4), pages 697-705, September.
    2. Nunn, Kenneth P. & Hill, Joanne & Schneeweis, Thomas, 1986. "Corporate Bond Price Data Sources and Return/Risk Measurement," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(02), pages 197-208, June.
    3. Wara, A. & Welch, I., 1990. "Bondholder Losses In Leveraged Buyouts," Papers fb-_90-04, Columbia - Graduate School of Business.
    4. Alexander, Gordon J. & Edwards, Amy K. & Ferri, Michael G., 2000. "The determinants of trading volume of high-yield corporate bonds," Journal of Financial Markets, Elsevier, vol. 3(2), pages 177-204, May.
    5. Harris, Milton & Raviv, Artur, 1981. "Allocation Mechanisms and the Design of Auctions," Econometrica, Econometric Society, vol. 49(6), pages 1477-99, November.
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    Cited by:
    1. Frutos Casado, √Āngeles de & Manzano, Carolina, 2003. "Trade disclosure and price dispersion," Working Papers 2072/1773, Universitat Rovira i Virgili, Department of Economics.
    2. Ricardo Lagos & Guillaume Rocheteau, 2006. "Search in Asset Markets," 2006 Meeting Papers 869, Society for Economic Dynamics.
    3. Ronen, Tavy & Zhou, Xing, 2013. "Trade and information in the corporate bond market," Journal of Financial Markets, Elsevier, vol. 16(1), pages 61-103.
    4. Sun, David & Lin, William & Nieh, Chien-Chung, 2007. "Long run credit risk diversification: empirical decomposition of corporate bond spreads," MPRA Paper 37283, University Library of Munich, Germany, revised Jul 2008.
    5. Guillaume Rocheteau & Ricardo Lagos, 2008. "Liquidity in asset markets with search frictions," Working Paper 0804, Federal Reserve Bank of Cleveland.

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