FIRN Virtual Seminar Series - Jordan Nickerson, MIT

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FIRN Virtual Seminar Series - Jordan Nickerson, MIT

Working with the large FIRN member institutions we have developed a virtual seminar series where all FIRN members can participate.

By FIRN

Date and time

Thu, 29 Apr 2021 5:00 PM - 6:00 PM PDT

Location

Online

About this event

Working with the large FIRN member institutions we have developed a virtual seminar series where all FIRN members can participate.  The seminars will be via zoom and will be about an hour long, comprising presentation followed by moderated Q&A.   

In collaboration with ANU, FIRN  invites you to a virtual seminar presented by Jordan Nickerson, MIT

Title: Crowded Ratings: Clientele Effects in the Corporate Bond Market

Abstract: Consistent with a simple model of market segmentation, we document rating-based clientele effects in the corporate bond market. Supply shocks arising from idiosyncratic firm upgrades and downgrades cause significant price movements for the other bonds in both the affected rating bucket and nearby buckets. This effect is not driven by changes in risk and is persistent, with an approximate half-life of five months. Guided by the model, these results shed light on the demand price elasticity and degree of rating-based market segmentation, and the speed of adjustment for arbitrage capital, all in the context of the corporate bond market.

Moderated by Nhan Le, ANU

All FIRN members are welcome to this event.   Please register your interest and you will be sent an email the day before with the Zoom code.

Organised by

FIRN is the premier network of finance researchers and PhD students across Australia and recently New Zealand.  Researchers from all of the major schools, departments and universities who offer research programs across the various topic areas of finance are members of FIRN.

The purpose of FIRN is to provide a strong, cohesive and fiscially efficient approach toward supporting research and advancements in the Australian finance academic community.  FIRN’s program of events and initiatives aims to develop better communication and networking across the sector, better research outcomes, better educated PhD students, better skilled academics, stronger international relationships and a stronger future.

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