2017 Debt Markets Conference


Past Event

2017 Debt Markets Conference

November 17, 2017
11:45 AM - 4:00 PM
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7th Floor Case Lounge, 435 W 116th Street

Allen Ferrell (Harvard Law School) will present joint research with Andrew Roper (Compass Lexecon) and Yibai Shu (Compass Lexecon) analyzing the TRACE data of corporate bond transaction prices and matrix prices, a commonly used model that serves as a basis for quoting bonds, and, on the basis of the analysis, evaluates the use of matrix bond pricing in various legal contexts.

Larry Glosten (Columbia GSB), will report on joint research with Charles Calomiris (Columbia GSB) and Ben Munyan (Vanderbilt) using bond transaction data provided to them by a large bond dealer. The authors find that the riskless principal transactions in their data are accurately predicted by the identification algorithm used by Larry Harris in his paper, Transaction Costs, Trade Throughs, and Riskless Principal Trading in Corporate Bond Markets, but have smaller spreads than Harris reports. The paper further investigates the role of relationships and dealer pricing of riskless principal transactions.

Each paper will be followed with commentary by Larry Harris (USC, Marshall School of Business) and audience Q&A. The conference will conclude with a panel discussion by Charles Jones (Columbia Business School); Tavy Ronen (Rutgers Business School); and Suresh Sundaresan (Columbia Business School).

Session I

12:30 PM The Legal Use of Bond Transaction Data and Matrix Pricing, Presentation by Allen Ferrell, Harvard Law School

1:00 PM Discussant: Larry Harris, USC Marshall School of Business

1:15 PM Q & A

1:30 PM Break

Session II

1:45 PM Rents vs. Costs of Intermediation in the Bond Market, Presentation by Lawrence Glosten, Columbia Business School

2:15 PM Discussant: Larry Harris, USC Marshall School of Business

2:30 PM Q & A

2:45 PM Break

Session III

3:00 PM Panel Discussion with Charles Jones, Columbia Business School; Tavy Ronen, Rutgers Business School; and Suresh Sundaresan, Columbia Business School

4:00 PM Adjournment

2017 Debt Markets Conference:

Rents V. Costs of intermediation in the Bond Market