2017 Debt Markets Conference
The Program in the Law and Economics of Capital Markets held the 2017 Debt Markets Conference on Friday, November 17th, 2017 at Columbia Law School. The event was a component of the ongoing New Special Study, a multi-year study of the securities markets intended to significantly inform and enhance the quality of financial market regulatory reform.
The Debt Markets Conference followed on the heels of the Initiating Conference of the New Special Study held in March 2017. A number of participants in the Initiating Conference expressed the view that more attention should be paid to the debt markets. The half-day 2017 Debt Markets Conference was intended to address these concerns.
The conference was built around two paper presentations. In the first presentation, Allen Ferrell (Harvard Law School) presented joint research with Andrew Roper (Compass Lexecon) and Yibai Shu (Compass Lexecon). The paper analyzes 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.
The second presentation was by Larry Glosten (Columbia GSB), who reported 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 of the two papers was followed by commentary by Larry Harris (USC, Marshall School of Business) and audience Q&A. The conference concluded with a panel discussion Charles Jones (Columbia Business School); Tavy Ronen (Rutgers Business School); and Suresh Sundaresan (Columbia Business School).
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
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
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