Degree

Doctor of Philosophy (PhD)

Department

Finance

Document Type

Dissertation

Abstract

In this dissertation, I present three studies that independently contribute to the literature on credit securities from an information perspective. In the first chapter, I examine the informational role of exchange-traded funds (ETFs) to the corporate bond market. Considering the dramatic growth of ETFs and the fact that they trade on exchanges, I posit that ETFs provide information to market participants about the underlying market, but not all information provided may be relevant. Indeed, I show that higher levels of ETF ownership of bonds are associated with lower transactions costs, higher liquidity, but also contain less firm-specific information.

In the second chapter, I examine the impact of information acquisition costs of mortgage performance information on three credit securities, all of which should be valued based on the same underlying mortgage collateral. I develop a unique proxy for information costs by exploiting data inaccuracies of mortgage performance across data vendors. Using this measure, I show that conditional on information costs and institutional features of each security, credit markets acted more rationally during the crisis than previously thought. Both the first and second essays provide evidence that composite securities for hard-to-trade assets may have potentially negative consequences on markets.

Finally, in the third chapter I examine the role of information on credit default swap (CDS) spreads. Using financial analysts' earnings forecasts and price targets, I study how the degree of information reliability affects investor uncertainty regarding firm asset value and performance. I find that commonly interpreted public information is reliable and does not impact credit spreads. However, less reliable information, which is interpreted differently by investors, increases credit spreads.

Date

10-22-2018

Committee Chair

Mason, Joseph

Available for download on Monday, October 20, 2025

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