Onderzoek Economie en Management

Met ons onderzoek richten we ons op de thema's: arbeid, zorg en vergrijzing, banken en financiële markten, duurzaamheid, innovatie en ondernemerschap, marketing en consumentengedrag en marktordening.

Promotie A.C. Rapp MSc

Titel: Essays on Corporate Bond Market Liquidity and Dealer Behavior
Promotor: prof. dr. F.C.J.M. de Jong
Copromotor: dr. F. Castiglionesi

The thesis consists of three chapters and studies the role of corporate bond dealers as liquidity providers in decentralized over-the-counter markets. The first two empirical chapters explore the impact of dealers' inventory financing constraints on their ability to act as middlemen in corporate bond markets. Specifically, the first chapter provides empirical evidence that dealers' financing constraints are a crucial determinant of the costs of their liquidity provision. The second chapter demonstrates that bonds handled by dealers with higher financing constraints are associated with substantially larger and abrupt price declines and slower price reversals in case of a rating downgrade from investment to non-investment grades. The third theoretical chapter studies the effects of post-trade disclosure on a dealer's dynamic trading strategy in a two-period dealership market and shows that in terms of customer welfare neither a regime with full nor one without post-trade transparency is universally dominating.

 Andreas C. Rapp completed his undergraduate education in Germany before pursuing the Research Master in Finance at the CentER Graduate School in 2011. Upon completion, he joined the Department of Finance of Tilburg University as a Ph.D. candidate. During his doctoral studies, he paid a research visit to the Finance Department of HEC Paris. In the academic year 2017-2018, he worked as a part-time lecturer at the Quantitative Economics Sections of the University of Amsterdam. As of Fall 2018, Andreas C. Rapp will be joining the Federal Reserve Board of Governors in Washington, DC.

Locatie: Cobbenhagengebouw, Aula (ingang via Koopmansgebouw)

Proefschrift aanvragen

Wanneer: 12 november 2018 10:00