Electronic trading, market structure and liquidity

MN Massimb, BD Phelps - Financial Analysts Journal, 1994 - Taylor & Francis
Electronic trading markets have been deployed to replace or complement traditional, open-outcry
markets. The" electronic matching system" automatically matches bids and offers at the …

Measuring bond-level liquidity

…, KY Ng, BD Phelps - Journal of Portfolio …, 2016 - search.proquest.com
Market liquidity is important for investors, portfolio managers, and policy makers because it
affects decision making and portfolio performance. Yet, for all its importance, liquidity is …

Capturing credit spread premium

KY Ng, BD Phelps - Financial Analysts Journal, 2011 - Taylor & Francis
Despite high spread volatility, investment-grade credit portfolios have generated an average
annual spread premium (returns net of US Treasury returns and defaults) of 48 bps over the …

[BOOK][B] Quantitative credit portfolio management: practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk

AB Dor, L Dynkin, J Hyman, BD Phelps - 2011 - books.google.com
An innovative approach to post-crash credit portfolio management Credit portfolio managers
traditionally rely on fundamental research for decisions on issuer selection and sector …

The hunt for a low-risk anomaly in the USD corporate bond market

KY Ng, BD Phelps - Journal of Portfolio Management, 2015 - search.proquest.com
Low-risk (ie, low-beta) equities have been found to have higher risk-adjusted returns than
do their high-risk (high-beta) counterparts. This is a low-risk anomaly. Some argue that this …

Credit spread decomposition: decomposing bond-level credit OAS into default and liquidity components

SG Dastidar, BD Phelps - Journal of Portfolio Management, 2011 - search.proquest.com
Portfolio managers can use spread decomposition to help determine if a bond's spread
moves mainly because of liquidity or because of default-related reasons. The authors explain …

Optimal Credit Allocation for Buy-and-Hold Investors

L Dynkin, J Hyman, BD Phelps - Journal of Portfolio …, 2004 - search.proquest.com
The trade-offs between risk and return are different for buy-and-hold investors and total return
investors. For buy-and-hold investors, the portfolio return distribution is asymmetric; the …

Using Treasury Bond Futures to Enhance Total Return

GS Samorajski, BD Phelps - Financial Analysts Journal, 1990 - Taylor & Francis
… Samorajski and Bruce D. Phelps … Gregory Samorajski is Manager and Bruce Phelps is
Senior Economist of the Financial instruments Group of the …

Liquidity and Market Efficiency: Cash Corporates, ETFs, and CDX

…, SA Laipply, BD Phelps - The Journal of Index …, 2016 - search.proquest.com
Market efficiency is an important topic for academics and practitioners. The main characteristic
of efficiency is how accurately and quickly asset prices reflect available information. …

Credit Risk Premium: Measurement, Interpretation and Portfolio Allocation

RC Gabudean, KY Ng, BD Phelps - Modern Multi-Factor Analysis of Bond …, 2016 - Springer
Investors have two different approaches to the credit risk premium: one based on analytical
duration and the other on empirical duration. Fundamentally, the approaches differ on …