Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress

• 成果类型: Article
• 署名作者: He, Zhiguo; Khorrami, Paymon; Song, Zhaogang
• 署名单位: University of Chicago; National Bureau of Economic Research; Imperial College London; Johns Hopkins University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhac004
• 发表日期: 2022
• 页码: 4630
• 关键词: CORPORATE YIELD SPREADS; cross-section; liquidity risk; term structure; bond; illiquidity; heteroskedasticity; arbitrage; frictions; DYNAMICS

摘要

Two intermediary-based factors-a corporate bond dealer inventory measure and a broad intermediary distress measure-explain more than 40% of the puzzling common variation in credit spread changes beyond canonical structural factors. A simple intermediary-based model with partial market segmentation accounts for intermediary factors' explanatory power and delivers three further implications with empirical support. First, whereas bond sorts on risk-related variables produce monotonic loading patterns on intermediary factors, non-risk-related sorts produce no pattern. Second, dealer inventory comoves with corporate-credit assets only, whereas intermediary distress comoves with both corporate-credit and non-corporate-credit assets. Third, dealers' inventory responds to (instrumented) bond sales by institutional investors.