Friday, August 19, 2011, 10:30-12:15 pm; Asset Pricing Empirical
Bond Pricing I - B1

Session Chair: Jack Bao, The Ohio State University

  • An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets PDF 
    Dion Bongaerts1, Frank de Jong2, Joost Driessen2
    Erasmus University1; Tilburg University2
    • Discussant: Peter Feldhütter, London Business School
  • An Empirical Decomposition of Risk and Liquidity in Government Bonds PDF
    Carolin Pflueger, Luis Viceira
    Harvard University
    • Discussant: Josephine Smith, New York University
  • Tranching and Pricing in CDO-Transactions PDF
    Günter Franke, Thomas Weber
    University of Konstanz; Axpo Corporation
    • Discussant: Jennifer Dlugosz, Board of Governors of the Federal Reserve