PhD defence: Davide Tomio
This dissertation consists of three essays aimed at understanding what drives market liquidity and the mispricing between securities connected by arbitrage. The first sets the stage by investigating how credit risk affects bond market liquidity. The second essays considers the market liquidity of an asset together with that of a second asset, to which the first is connected by an arbitrage relationship. The third essay considers how the liquidity spills over between two securities connected by arbitrage, focusing on the propagation of a liquidity shock and show how a large buying pressure exerted by an exceptional trader (a central bank) affects the pricing relation between two securities and how the illiquidity arising in one market is transferred to the other.
Primary Supervisor:
Professor Lasse Heje Pedersen
Department of Finance
Copenhagen Business School
Secondary Supervisor:
Professor Søren Hvidkjær
Department of Finance
Copenhagen Business School
Assessment Committee:
Associate Professor Ulf Nielsson
Department of Finance
Copenhagen Business School
Associate Professor Katya Malinova
Department of Economics
University of Toronto
Associate Professor Michael Halling
Department of Finance
Stockholm School of Economics
Thesis:
The thesis will be available from
Reception:
The Doctoral School of Economics and Management will host a reception, which will take place immediately after the defence in Rotunden at Solbjerg Plads 3.
Organised by The Doctoral School of Economics and Management
Location
Copenhagen Business School
Solbjerg Plads 3
2000 Frederiksberg
Sps03