Showing papers by "Hendrik Bessembinder published in 2018"
TL;DR: This article studied trading costs and dealer behavior in U.S. corporate bond markets from 2006 to 2016 and found that dealer capital commitment, turnover, block trade frequency, and average trade size decreased during the financial crisis and thereafter.
Abstract: We study trading costs and dealer behavior in U.S. corporate bond markets from 2006 to 2016. Despite a temporary spike during the financial crisis, average trade execution costs have not increased notably over time. However, dealer capital commitment, turnover, block trade frequency, and average trade size decreased during the financial crisis and thereafter. These declines are attributable to bank‐affiliated dealers, as nonbank dealers have increased their market commitment. Our evidence indicates that liquidity provision in the corporate bond markets is evolving away from the commitment of bank‐affiliated dealer capital to absorb customer imbalances, and that postcrisis banking regulations likely contribute.
140 citations
TL;DR: In this paper, the authors highlight the important role of positive skewness in the distribution of individual stock returns and explain why poorly diversified active strategies most often underperform market averages.
119 citations
TL;DR: The roll yield as mentioned in this paper is a misnomer, and no such cash flow occurs at the time of roll trades or on any other date, although the roll yield does contain useful information.
Abstract: Futures investors are frequently said to periodically pay or receive the difference in futures prices across contracts with different delivery dates. But this “roll yield” is mythical: No such cash flow occurs—at the time of roll trades or on any other date. However, although the term is a misnomer, the roll yield does contain useful information. It explains when futures gains exceed or fall short of spot-price changes, and for storable assets, it provides information regarding benefits to the marginal holder of a spot position. This article clarifies the actual role of the roll yield.
12 citations