Institutional Corporate Bond Pricing

• 成果类型: Article; Early Access
• 署名作者: Bretscher, Lorenzo; Schmid, Lukas; Sen, Ishita; Sharma, Varun
• 署名单位: Swiss Finance Institute (SFI); University of Lausanne; Centre for Economic Policy Research - UK; University of Southern California; Harvard University; Indiana University System; Indiana University Bloomington
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaf067
• 发表日期: 2025
• 关键词: DEMAND CURVES; instrumental variables; cross-section; credit; yield; MODEL; MARKET; fragility; spreads; funds

摘要

We propose an equilibrium corporate bond pricing model that accommodates the heterogeneity in institutional investors' preferences and mandates in an empirically tractable way. Our model, estimated on rich holdings data, quantifies investors' preferences and demand elasticities, with inelastic insurers focusing on the investment-grade segment, and elastic mutual funds substituting across ratings groups. The model offers a novel quantitative perspective of the effect of recent trends in institutional ownership on equilibrium credit spreads and the funding costs of corporations. Overall, our model emphasizes the composition of institutional demand as an important state variable for corporate bond pricing.